Tutorial

Thursday, November 18, 2010, 1:00 PM – 8:30 PM (dinner break 5:00 PM – 6:30 PM)
Trading, Hedging, and Mathematical Finance

Organizer/Speaker: Patrick S. Hagan, Head, Quantitative Analytics, Chief Investment Office, JP Morgan

On the practical side, desk quants use "esoteric" and "mysterious" mathematical methods to manage enormous trading positions in the capital markets; 50 trillion US dollars in interest rate derivatives alone. On the theoretical side, there is an explosion of academic interest and research in mathematical finance. In this course we bridge the gap, showing how the results and ideas of mathematical finance are used in practice to value our positions, calculate the risks, and then hedge out the undesirable exposures moment by moment during the day. Once this mental framework is in place, the objective is for attendees to:

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