One Day Lecture at s:f:i

23. 07 06 - 23:47 - Category:Mathematics (English Text)
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I will give a one day lecture as part of the Certificate FAME Program 2006 at the swiss finance institute.

The lecture will take place August 2nd at University of Lausanne. See the program of this event for details. As precourse reading you should consider Chapter 8, 9 and 10 (interest rate basics), Chapter 12 (exotic derivatives) and Chapter 15 (libor market model) of my lecture notes. These chapters are available in english and german.