Module 5: Advanced Modelling Topics 1 (2019-2020)

2019-2020
Lecturer(s): 
Prof. Christoph Reisinger
Dr Jeff Dewynne
Prof. Sam Howison
External Lecturer(s): 
Jochen Theis
Dr Christopher Hunter
Course Term: 
Michaelmas
Course Overview: 

*Asymptotic methods: examples of regular perturbation, singular perturbation, multiple scales and matched asymptotic expansion methods
*Interest rate products: implementation and calibration: The lectures will cover advanced interest rate models and the core techniques to implement these into production environments. This includes models for multiple interest rate curves in a single currency and multi-currency models, which are needed for counterparty and funding valuation adjustments. The emphasis is on practical aspects of model implementation and the trade-offs faced in practice. Monte Carlo methods feature prominently due to the high dimensionality of most advanced models.
*Jump diffusion
*Hybrid interest rate products
*Cross currency collateralisation