**Sunday, July 21, 1996**

**Organizer: Kerry Back**

University of Washington

Morning | |
---|---|

8:30 | Registration |

9:00-10:00 | I. Introduction |

A. A catalogue of financial securities | |

B. Valuation and hedging in lattices | |

C. Ito's Lemma, Girsanov's Theorem, and the Feynman-Kac formula | |

10:00-10:30 | Coffee |

10:30-12:00 | II. Option pricing |

A. Black-Scholes formula | |

B. Exotic options | |

C. Stochastic volatility | |

Afternoon | |

12:00-1:30 | Lunch |

1:30-3:00 | III. Term structure of interest rates |

A. Affine factor models | |

B. Matching the current yield curve | |

C. Interest-rate derivatives | |

3:00-3:30 | Coffee |

3:30-5:00 | IV. Other issues |

A. Forwards, futures, and swaps | |

B. American options | |

5:00-5:30 | Open Discussion |

5:30 | Course adjourns |

SIAM Member | Non-Member | Student | |
---|---|---|---|

Pregistration (Before 7/8/96) | $130 | $170 | $50 |

Registration (After 7/8/96) | $170 | $210 | $65 |

Registration fees include course notes and lunch. To register for the short course, conference or both, complete the preregistration form.