AQFC2015

Seminar: Modeling of Interest Rate Volatilities


Seminar

Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong


Title: Modeling of Interest Rate Volatilities

Speaker: Dr. Qi Wu
               Department of Applied Physics and Applied Mathematics
               Columbia University

Date: Jan. 13th, 2012(Friday)

Time: 2:00 p.m. -3:00 p.m.

Venue: Room 513
            William M.W. Mong Engineering Building
            (Engineering Building Complex Phase 2)
            CUHK


Abstract:

Interest rate volatility risk is one of the key risk exposures for financial institutions such as central banks, commercial banks, pension funds, mutual funds, and insurance companies. The global Interest rate option market is the largest among all over-the-counter fixed income option markets, significantly outsizing FX, equity and commodity in terms of both outstanding notional and market values. In this talk, we will go through recent modeling developments in rates option space. For single term, we\'ll look at the SABR model and its variants. And on the full term structure side, we\'ll look at Forward Libor Model with stochastic volatility

Biography:

Dr. Qi Wu is a quantitative analyst at UBS Investment Bank, supporting global trading of USD interest rate exotics. His research spans interest rate volatility modeling and fixed income derivative trading. He publishes at Mathematical Finance and International Journal of Applied and Theoretical finance, and has presented at Quant Congress USA and SIAM Conference on Financial Mathematics and Engineering. He holds a Ph.D in Applied Mathematics from Columbia University.

************************* ALL ARE WELCOME ************************
Host: Prof. Duan Li

Tel: (852) 3943-8316/8323

Email: dli@se.cuhk.edu.hk

Enquiries: Prof. Nan Chen or Prof. Sean X. Zhou
                 Department of Systems Engineering and Engineering Management
                 CUHK          

Website: http://www.se.cuhk.edu.hk/~seem5201

Email: seem5201@se.cuhk.edu.hk

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Date: 
Friday, January 13, 2012 - 06:00 to 07:00