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Interest Rate Term Structure Modelling: BGM Lectures

Speaker: Professor Alan Brace, National Australia Bank

Abstract: The Quantitative Finance Research Centre (QFRC) at UTS is pleased to announce a free lecture series by Dr. Alan Brace. Alan worked in industry, university and government jobs before entering finance in 1988. He started as the quant in a trading team at ANZ, later working at Citibank, National Australia Bank, and then BNP-Paribas in New York; all jobs concentrating on interest rate modeling. He is the "B" in BGM, a model named after the authors of the paper "The market model of interest rate dynamics," which now represents a standard widely used in the market in one form or another.

From Thursday, 16 March 2006, Alan will be presenting a lecture series on these models and their further extension, focusing in particular on practical model implementation. In order to ensure a maximum benefit to participants and limit attendance to persons committed to following the full, intensive series of lectures (anticipated to run over two semesters), participation is by invitation only. Senior managers from the industry who wish to nominate a member of their staff to attend should contact Associate Professor Erik Schlögl at Erik.Schlogl@uts.edu.au by Thursday, 9 March 2006. As a service of Alan Brace and the QFRC to the quantitative finance community, participation in this lecture series will be free of charge

Date:
16 March 2006
Location:
City - Broadway
Audience:
Conference Delegates

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