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                                                     Seminar

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

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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

　

　

　

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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


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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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