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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Modeling of Interest
Rate Volatilities |
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Speaker |
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Dr. Qi Wu |
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Department of Applied Physics and Applied Mathematics |
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Date |
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Jan. 13th, 2012(Friday) |
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Time |
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2:00 p.m. -3:00 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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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 |
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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 |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Duan Li |
Tel |
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(852)
3943-8316/8323 |
Email |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
Website |
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