Interest Rate Models: the Past, the Present and the Future
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Date: 05-29-2008
Start Time:
5:30pm
End Time: 7:00pm
Speaker: Jesper Andreasen, Danskebank
Location: Park Avenue Plaza at 55 East 52nd Street
ABSTRACT:
We survey the development of interest rate models over the past 3 decades from short rate models, over Markov functional models and Libor market models to Markov HJM models. The focus is on application to derivatives pricing and practical issues of calibration and numerical implementation will be discussed.
BIO:
Before recently joining Danskebank, Jesper Andreasen headed the Fixed Income Quantitative Research Department at Bank of America in London covering interest rate and hybrid derivatives. Jesper has also held positions in the quantitative research departments of Nordea, Bank of America, and General Re Financial Products. Jesper's research interest include: term structure modeling, volatility smiles, and numerical methods. In 2001 Jesper received Risk Magazine's Quant of the Year award. Jesper holds a PhD in Mathematical Finance from Aarhus University, Denmark.
*There will be a cocktail following the event.
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