25-27th February, 2009
The Institute of Physics
76 Portland Place,
Book before September 30th to Receive a 20% 'Early Bird' Discount and before November 30th to receive a 10% Discount.
This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding levels. The solution of these using QuantLib classes will be the focus of the course.
We will see how QuantLib provides a free easily-extendible implementation that achieves rapid pricing and sensitivity computation, and stable calibration to the market; whilst being able to cope with path-dependence, discontinuous pay-offs and early exercise features.
Further information: http://www.moneyscience.com/Events_Noticeboard/article558