BGM Market Models: Advances, Calibration, Smile, Pricing - London UK
The "BGM Market Models: Advances, Calibration, Smile, Pricing" course provided by London Financial Studies will take place in London, UK on 26 Oct 2011.
- (1888PressRelease) April 26, 2011 - The BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an importance in pricing and hedging financial products that has grown in the recent market turmoil.
Discover new developments and cutting edge techniques in Libor and Swap Market Models. This in-depth course reviews foundations and illustrates the latest advances, including lessons learnt from the financial crisis. This will give participants the opportunity to apply new methodologies in a practical context for the current needs of the market.
The course analyses techniques and structures for crucial points such as volatility and correlation modelling. It further investigates calibration techniques on market data, presents problematic scenarios and identifies appropriate solutions.
The various pricing problems with real-world payoffs are examined and practical solutions are described. Volatility smile and skew are explored and captured with tractable dynamics and the introduction of stochastic volatility, analysing in practice the most recent stochastic volatility term structure models. Finally, how to deal with credit and liquidity risk in this framework is explained. Workshops make use of Excel based spreadsheets and MatLab.
Attendance cost: please see website for details
Event organizer: London Financial Studies
More Information about the BGM Market Models: Advances, Calibration, Smile, Pricing - London UK at http://investcourses.com/bgm-market-models-advances-calibration-smile-pricing-london-uk
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