Recent Advances in Interest Rate Modeling
Thursday 28 August 2008 in “Store Sal” (R-building)
Programme
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13.00-13.15 |
Welcome
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13.15-14.00 |
Practical Interest Rate Modeling: Recent Developments and Future Challenges
Jesper Andreasen, Danske Markets, Copenhagen
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14.00-14.40 |
Implementations of LIBOR market Models
Christian Rønde Sørensen, Jyske Bank
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14.40-15.10 |
Coffee break
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15.10-15.50 |
Lévy Driven Interest Rate Theory
Ernst Eberlein, University of Freiburg
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15.50-16.30 |
Alternative Specifications for the Lévy LIBOR Market Model: An Empirical Investigation
David Skovmand, Aarhus School of Business, University of Aarhus
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16.30-17.00 |
Coffee break
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17.00-17.45 |
Analytical Approximations for Prices of Swap Rate Dependent Embedded Options in Insurance Products
Antoon Pelsser, University of Amsterdam
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19.00 |
Dinner at a restaurant in the city centre of Aarhus |
> Abstracts (pdf)
> Programme (pdf)
The workshop will be held in English and is kindly sponsored by Jyske Bank and D-CAF Danish Center for Accounting and Finance.
Registration
Please contact Susanne Lannie, sla@asb.dk