Valuation of catastrophic derivatives
On May 24, 2018, a meeting was held at which the concept of catastrophic derivatives was presented. This concept helps insurers and reinsurers protect themselves against large and unpredictable claims. …
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Implied volatility and volatility smile
On April 19, 2018, a meeting was held at which the concept of implied volatility and volatility smile were presented. The meeting began with a brief introduction of basic concepts, …
High-Frequency Trading (HFT) and automatic investment strategies
We invite you to the meeting about an introduction to High-Frequency Trading (HFT) and automatic investment strategies. The meeting will take place on April 12 at 18:30 in room 5070. …
LIBOR market model
On March 22, 2018, a meeting was held at which the LIBOR market model – LMM was presented. This model is used to value interest rate of derivatives. Unlike short …
K-Hartman-Watson distribution
We invite you to the meeting, which will take place on March 15 at 18:30 in room 5050. At the meeting dr Maciej Wiśniewolski will present the K-Hartman-Watson distribution.