8:15 AM-9:00 AM
Chair: Kenneth R. Jackson, University of Toronto
Room: Convocation Hall
This presentation is intended for individuals who are not derivatives specialists. The speaker will explain what derivatives are and the theory underlying the way derivatives are priced and hedged. He will explain risk-neutral valuation and categorize the numerical procedures that are used to value derivatives. The speaker will discuss current directions of applied derivatives research, including a discussion of the models that have been traditionally used to describe the behavior of equity prices and foreign exchange rates and the limitations of those models. He will also survey the models that have been proposed for valuing interest rate derivatives and explain some of the trade-offs that have to be made when a model is chosen for describing the behavior of the yield curve.
John C. Hull
Joseph L. Rotman School of Management
University of Toronto, Canada