Modern Interest Rate Modeling

Jay Henniger*

Senior Market Risk Analyst and Modeling Consultant

Washington Mutual

16 November 2006, 4:00 P.M., Mary Gates Hall 238

Modern interest rate models commonly referred to as HJM models, BGM models, or LIBOR market models have become a popular and flexible framework for stochastic interest rate modeling. An outline of this approach will be discussed, with emphasis on some important practical modeling choices. The treatment of volatility, correlation, and skew will be discussed as well as the calibration of the model to market data.



*Jay Henniger is a Senior Market Risk Analyst and Modeling Consultant at Washington Mutual. He graduated from Cornell (2005) with a Ph.D. in Applied Math, where he studied optimization problems in computational finance.

NOTE: Off-campus professionals interested in quantitative finance are invited. Park in Central Parking via Gate 2 on 15th Ave. See map at http://www.washington.edu/home/maps/northcentral.html.
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