There is still no standard interest rate model suitable for all kind of interest rate products and markets. This makes it particularly important to have knowledge on a broad range of models used in practise. The workshop aims at presenting a survey on popular models used in the industry (ranging from short rate models to LIBOR market models). Further, a particularly suitable 2-factor-Hull-White-model concept will be presented that sets up a generic pricing framework for a wide range of exotic and standard products and allows for simple calibration.

Prof. Dr. Ralf Korn, University Kaiserslautern, Fraunhofer Institute for Industrial Mathematics Kaiserslautern
Ralf Korn is Professor of Financial Mathematics at the Univ. Kaiserslautern (Ger­ma­ny). He is also heading the Financial Mathematics group at the Fraunhofer Insti­tute for Industrial Mathematics ITWM in Kaiserslautern which collaborates in numerous projects with the finance and the insurance industry.  He has written five books (the most recent one on “Monte Carlo Methods and Models in Finance and Insurance”) and has published over 50 papers in refereed journals.

PD Dr. Jörg Wenzel, Fraunhofer Institute for Industrial Mathematics Kaiserslautern
Jörg Wenzel is the deputy head of the Financial Mathematics group at the Fraunhofer In­sti­tute for Industrial Mathematics ITWM in Kaiserslautern. He holds a PhD in ma­the­matics and has great experience in projects with the financial industry ranging from software concepts for equity option pricers to numerical methods for pricing exotic products in interest rate markets.

Professor Moorad Choudhry has over 21 years experience in investment banking in the City of London and was most recently Head of Treasury at Europe Arab Bank plc. He was previously Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank.

Moorad was educated at Claremont Fan Court School in Surrey, England, then at University of Westminster and University of Reading. He obtained his MBA from Henley Business School and his PhD from Birkbeck, University of London. He is Visiting Professor at the Department of Economics, London Metropolitan University, Senior Research Fellow at the ICMA Centre, University of Reading and Visiting Research Fellow at CARISMA, Brunel University. He is author of The Credit Default Swap Basis (Bloomberg Press 2006) and Bank Asset and Liability Management (John Wiley & Sons 2007).

Moorad is an FRM and Fellow of the Global Association of Risk Professionals, a Fellow of the ifs-School of Finance and a Fellow of the Chartered Institute for Securities and Investment. He is on the Editorial Board of the Journal of Structured Finance and the Editorial Advisory Board of the American Securitization Forum.

Professor Chris Rogers took up the Chair of Statistical Science at Cambridge University in September 2002. Chris works in the theory of probability and its applications, particularly in quantitative finance. His work in finance includes the potential approach to the term structure of interest rates, complete models of stochastic volatility, portfolio turnpike theorems, improved binomial pricing, robust hedging, liquidity modelling, axiomatics of valuation operators, the equity premium puzzle, duality in optimal investment/consumption, and Monte Carlo valuation of American options.
Within Cambridge, he is the founder and co-ordinator of Cambridge Finance , and leads the Quantitative Finance Group in the Statistical Laboratory.
Together with Professor David Williams, Chris wrote the two volume work `Diffusions, Markov Processes, and Martingales', originally published by Wileys, Chichester, and now re-released by Cambridge University Press.