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Interest Rate Modelling and Applications in Practice

31 May - 1 June 2012, London

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Scope and Purpose

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.

Key features:
• Concise introduction to a wide range of interest rate models
• Presents pricing methodology for numerous interest rate products
• Sets up a complete, generic pricing framework including software demonstration
• Application oriented and pedagogical presentation
Benefits of Attending
• Enhance your knowledge of interest rate modelling and pricing;
• Experience the design of a generic pricing framework;
• Learn how to deal with a wide range of pricing problems for interest rate products.
Target Audience
Quants, actuaries, risk managers.
 Programme
 Presenters
Fees

Industry Rate: 2 days £1025 + VAT

Thanks to our sponsors, there are a limited number of generous bursaries available for academics and research students so they can attend at reduced rates.



For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com

Discounted rates for group bookings can be also arranged on request.


Brochure Download | Register Now