dstefan
Baruch MFE Director
- Joined
- 5/19/06
- Messages
- 1,336
- Points
- 93
Dear Students, Alumni and Faculty,
The Quant Network at Baruch's Financial Engineering MS Program would like to invite you to attend a talk given by Dr. Blessing Mudavanhu, Co-head of Credit Risk Analytics at Merrill Lynch. Dr. Mudavanhu will co-teach the MTH 9845 Market and Credit Risk Management in Spring 2007 with Prof. Greg Ciresi.
Title: Interest rate models'implied volatility function stochastic movements
Speaker: Blessing Mudavanhu, Ph.D., Credit Risk Analytics, Merrill Lynch & Co.
Location: Room 3-160, Vertical Campus building, at Lexington and 24th Street.
When: Friday, November 30, 2007, 6pm-7pm
Abstract: As a market convention, interest rate volatility is measured by a swaption volatility surface. The volatility surface is similar to the swap curve in that it is stochastic, changing continually to reflect market expectations and the buy and sell order flows for interest rate
volatilities. And this surface is an important practical input, often as important as the swap curve, to the valuation of many interest contingent claims. In this discussion, we first present a one-factor and a two factor arbitrage-free interest rate models with parsimonious implied volatility functions. We then analyze the implied stochastic volatility movements and
describe a modeling approach that has important implications on hedging interest rate derivatives dynamically taking the stochastic volatility risk into account.
About the speaker: Dr. Blessing Mudavanhu is a Co-head of Credit Risk Analytics at Merrill Lynch. Dr Mudavanhu's interests focus on market risk management, credit risk management, and derivative pricing. He has co-authored many financial engineering papers with Dr Thomas Ho (co-author of the Ho-Lee model) published in Journal of Investment Management and Journal of Fixed Income. Dr Mudavanhu has a Ph.D. in Mathematics and a Masters in Financial
Engineering from the University of Washington and University of California at Berkeley, respectively. He was received numerous awards, including the Fulbright Scholarship and Research Fellowships from the National Science Foundation.
The Quant Network at Baruch's Financial Engineering MS Program would like to invite you to attend a talk given by Dr. Blessing Mudavanhu, Co-head of Credit Risk Analytics at Merrill Lynch. Dr. Mudavanhu will co-teach the MTH 9845 Market and Credit Risk Management in Spring 2007 with Prof. Greg Ciresi.
Title: Interest rate models'implied volatility function stochastic movements
Speaker: Blessing Mudavanhu, Ph.D., Credit Risk Analytics, Merrill Lynch & Co.
Location: Room 3-160, Vertical Campus building, at Lexington and 24th Street.
When: Friday, November 30, 2007, 6pm-7pm
Abstract: As a market convention, interest rate volatility is measured by a swaption volatility surface. The volatility surface is similar to the swap curve in that it is stochastic, changing continually to reflect market expectations and the buy and sell order flows for interest rate
volatilities. And this surface is an important practical input, often as important as the swap curve, to the valuation of many interest contingent claims. In this discussion, we first present a one-factor and a two factor arbitrage-free interest rate models with parsimonious implied volatility functions. We then analyze the implied stochastic volatility movements and
describe a modeling approach that has important implications on hedging interest rate derivatives dynamically taking the stochastic volatility risk into account.
About the speaker: Dr. Blessing Mudavanhu is a Co-head of Credit Risk Analytics at Merrill Lynch. Dr Mudavanhu's interests focus on market risk management, credit risk management, and derivative pricing. He has co-authored many financial engineering papers with Dr Thomas Ho (co-author of the Ho-Lee model) published in Journal of Investment Management and Journal of Fixed Income. Dr Mudavanhu has a Ph.D. in Mathematics and a Masters in Financial
Engineering from the University of Washington and University of California at Berkeley, respectively. He was received numerous awards, including the Fulbright Scholarship and Research Fellowships from the National Science Foundation.
