Sunday, July 21, 1996
Organizer: Kerry Back
University of Washington
Morning | |
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8:30 | Registration |
9:00-10:00 | I. Introduction |
A. A catalogue of financial securities | |
B. Valuation and hedging in lattices | |
C. Ito's Lemma, Girsanov's Theorem, and the Feynman-Kac formula | |
10:00-10:30 | Coffee |
10:30-12:00 | II. Option pricing |
A. Black-Scholes formula | |
B. Exotic options | |
C. Stochastic volatility | |
Afternoon | |
12:00-1:30 | Lunch |
1:30-3:00 | III. Term structure of interest rates |
A. Affine factor models | |
B. Matching the current yield curve | |
C. Interest-rate derivatives | |
3:00-3:30 | Coffee |
3:30-5:00 | IV. Other issues |
A. Forwards, futures, and swaps | |
B. American options | |
5:00-5:30 | Open Discussion |
5:30 | Course adjourns |
SIAM Member | Non-Member | Student | |
---|---|---|---|
Pregistration (Before 7/8/96) | $130 | $170 | $50 |
Registration (After 7/8/96) | $170 | $210 | $65 |
Registration fees include course notes and lunch. To register for the short course, conference or both, complete the preregistration form.