The central clearing mandate of the 2010 Dodd-Frank law has a fundamental impact on the interest rate swaps market, the most traded OTC derivative. It took the regulators a long time to implement the rule and the mandate didn't take effect until June 2013, with many months, if not years, left... read more
John Dodson - Vice President, Quantitative Risk Management at Option Clearing Corporation
Oct 18, 2013 - 12:00pm to 1:00pm
Applied Mathematics - Seminar - E1 104
Abstract: A key part of experiment design is determining how much data to collect. When the data comes in the form of a time series, the sample size can be expressed by the count N of the observations and the duration T of the historical period. For forecasting the drift of an asset price process... read more
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What is Applied Mathematics?
Applied mathematicians develop and utilize mathematically rigorous methods, modeling insights, and computational algorithms to solve real-world problems. Applied mathematics is the mathematics that is created in response to problems in science, engineering, and society.