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Interest Rate Models in a Low Rate Environment

Financial Engineering Program, Claremont Graduate University

Friday, March 14, 2014 from 10:00 AM to 5:00 PM (PDT)

Interest Rate Models in a Low Rate Environment

Ticket Information

Type End Quantity
CGU Community Members (student, faculty, staff) Ended Free  
General Attendee Ended Free  

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Event Details

How can practitioners manage interest rate risk in a low rate environment? Traditional models assume that interest rates are normally distributed. When interest rates were at a higher level, these models were satisfactory, since the probability they implied for negative rates were low. How is it changing, now that interest rates are low?

The Financial Engineering Program at Claremont Graduate University assembled a team of world reknown speakers to present the latest advances in interest rate modelling and risk management: linear rational term structure models, affine term structure models, stochastic volatility, and much more. The talks will emphasize practical applications for professionals working in fixed income.

 

Keynote speaker:

Professor Damir Filipovic, EPFL, Switzerland

Swissquote Chair in Quantitative Finance


Confirmed speakers include:

Pat Hagan, Deutsche Bank, London

Zheng Liu, Morgan Stanley, New York

Peter Matheos, PIMCO, Newport Beach

Wesley Phoa, The Capital Group, Los Angeles

Steve Stone, Sunamerica, Los Angeles


About the symposium

The Financial Engineering Program at Claremont Graduate University organizes a one-day symposium every other year. The goal of the symposium is to bring together industry and academia in a forum highlighting the latest challenges in financial engineering. Each symposium has a different topic. The 2012 seminar was centered on energy and energy derivatives.

 

Details Related to the Event

The event is free and open to the public. Parking is also free on the street or across from the Drucker School. Please bring a printed copy of your ticket/confirmation. Please contact, financial.engineering@cgu.edu should you have any questions.

Have questions about Interest Rate Models in a Low Rate Environment? Contact Financial Engineering Program, Claremont Graduate University

When & Where


Claremont Graduate University
1021 N Dartmouth Ave
Claremont, CA 91711

Friday, March 14, 2014 from 10:00 AM to 5:00 PM (PDT)


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Organizer

Financial Engineering Program, Claremont Graduate University

The Financial Engineering Program at Claremont Graduate University organizes a one-day symposium every other year. The goal of the symposium is to bring together industry and academia in a forum highlighting the latest challenges in financial engineering. Each symposium has a different topic. The 2012 seminar was centered on energy and energy derivatives.

  Contact the Organizer

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