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Workshop on Financial Derivatives and Risk Management

May 24-28, 2010

Toronto, ON, Canada

Finance

Host: Fields Institute
Homepage: http://www.fields.utoronto.ca/programs/scientific/09-10/finance/derivatives/

Abstracts

Organizers: Peter Carr, Rama Cont, Darrell Duffie, Lane Hughston (chair), Roger Lee

Description:
Equity, interest rate and foreign exchange derivatives. Volatility derivatives. Credit risk modelling. Structured product design and functionality. Liquidity risk. Default contagion. Systemic risk in OTC market - clearing, transparency, and collateral rehypothecation. Partial information models for asset pricing and their applications.

Date received: February 19, 2010

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