Advanced Modelling Topics 1

The next course will take place: Tuesday 24 - Friday 27 September 2019

 

Syllabus

  • Asymptotic methods: examples of regular perturbation, singular perturbation, multiple scales and matched asymptotic expansion methods
  • Interest rate products: implementation and calibration: The lectures will cover advanced interest rate models and the core techniques to implement these into production environments. This includes models for multiple interest rate curves in a single currency and multi-currency models, which are needed for counterparty and funding valuation adjustments. The emphasis is on practical aspects of model implementation and the trade-offs faced in practice. Monte Carlo methods feature prominently due to the high dimensionality of most advanced models.
  • Hybrid interest rate products
  • Jump Diffusion: In the lectures we will cover jump diffusion models of prices and discuss the applications of Lévy processes in finance.

Please note that in exceptional circumstances it may be necessary to cancel or alter a particular lecture, so that these details are subject to small variation.

 

For students enrolled on course

Course Materials - including student instructions, lecture notes, assignment and submission link