Equity and fixed income derivatives: methods and intuition

Mathematics - Lecture/Discussion

Thursday, December 1, 2005
4:00 PM-5:00 PM

Morgan Hall
Room A

Speaker: Gary Middlemiss

Overview of the financial sector (brokers, hedge funds, mutual funds).
Organizational structure of a typical financial company. How the buy side thinks of equity option Greeks. How the sell side thinks of equity option Greeks. How changing hedge fund strategies can affect brokers in different markets. Yield curve intuition  zero rates, forward rates, treasury curve, swap curve, credit curves. Smoothing considerations.
Exposure to changes in the term structure (bucketized risk, par point risk, principle component analysis).

Suggested Audiences: Adult, College

E-mail: ma-chair@wpi.edu

Last Modified: November 29, 2005 at 5:26 AM

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