Thursday, February 26, 2004
YAS Meeting - 24 February 2004
I went to a meeting of the Yorkshire Actuarial Society in Leeds on Tuesday. Can't remember exactly what the paper being presented was called, but it was a sequel to Modern Valuation Techniques and was presented by Elliot Varnell.
It mainly covered the creation of a stochastic yield curve model - fit an initial yield curve and then let this evolve stochastically over time. This can then be used to value pretty much any asset or product whose return is based solely on interest rates. Some of the maths was a bit over my head, but I had at least read the initial paper so could follow what was going on most of the time. I found the talk fairly interesting - and it's good to try and keep up with some of the more technical developments in the profession. I don't generally get involved too much in that sort of thing whilst actually working.
I would link to the actual paper itself, but I can't find it on the 'net. Sorry!
The turnout was very low, especially amongst the people from Leeds. But that at least meant I could have extra biscuits!
It mainly covered the creation of a stochastic yield curve model - fit an initial yield curve and then let this evolve stochastically over time. This can then be used to value pretty much any asset or product whose return is based solely on interest rates. Some of the maths was a bit over my head, but I had at least read the initial paper so could follow what was going on most of the time. I found the talk fairly interesting - and it's good to try and keep up with some of the more technical developments in the profession. I don't generally get involved too much in that sort of thing whilst actually working.
I would link to the actual paper itself, but I can't find it on the 'net. Sorry!
The turnout was very low, especially amongst the people from Leeds. But that at least meant I could have extra biscuits!
