Frontieres en Finance
http://www.frontiers-in-finance.com/
and
ARTABEL SA
have the pleasure of announcing a one-day
Workshop on
Model Calibration: theoretical and computational aspects.
Journée
Calibration de modèle: aspects numériques et théoriques.
Paris, Vendredi 26 Octobre 2001.
Paris, Friday 26 October 2001.
8:30 - 18:00.
The use of increasingly sophisticated stochastic models in finance makes difficult the calibration of model parameters to data. On the other hand, more and more complex derivatives are created whose prices and hedging strategies are increasingly sensitive to model parameters and therefore to the calibration methods used to obtain them. Th goal of this workshop is to shed some light on some of the theoretical and numerical tools available to tackle these difficulties: through 4 mini-courses on the subject, we will present various methods for model calibration, examples of their application in option pricing and finally a numerical implementation of each method on a parallel architecture. La sophistication croissante des modèles financiers rend difficile et delicat la calibration des parametres de modele. D autre part, l'arrivee sur le marche d'instruments de plus en plus complexes augmente la sensibilite des prix et des strategies de couverture aux parametres de modele, rendant le resultat encore plus sensible a la procedure utilisee pour la calibration. L'objectif de cette journee sera de proposer une approche scientifique de ce probleme et de presenter un panorama des methodes numeriques disponibles pour le resoudre. L'exposition de chaque methode theorique sera accompagne d'une demonstration numerique et de commentaires sur les aspects pratiques de l'implementation.
Exposés / Talks:
Rama CONT Centre de Mathematiques Appliquees CNRS - Ecole Polytechnique.
Beyond Dupire: model calibration by regularization and optimization.
Fabio MERCURIO Banca San Paolo, Milan.
Joint Calibration of the LIBOR Market Model to Caps and Swaptions.
Stephane CREPEY Artabel SA
Calibration of volatility surfaces I: deterministic penalization approach.
Claude MARTINI -- Steven FARCY Artabel SA.
Calibration of local volatility surfaces II: stochastic control approach..
Inscriptions/ Registrations
To register, fill out and send us the registration form with your payment or proof of bank transfer before Oct 19, 2001.
http://www.fiquam.polytechnique.fr/finance/261001.html
E-mail registration is not accepted. PhD students should include a letter describing their subject of research.
Pour vous inscrire, renvoyez le formulaire d'inscription:
http://www.fiquam.polytechnique.fr/finance/261001.html
avec votre reglement par courrier ou télécopie au 01 41167171 avant le 19 Octobre 2001
Renseignements / Information :
For more information contact: tikhonov@frontiers-in-finance.com Pour plus de renseignements, contacter: tikhonov@frontiers-in-finance.com
------------------------------------------------------ Frontières en Finance http://www.frontiers-in-finance.com/ E-mail: info@frontiers-in-finance.com