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CONSULTANCY ACTIVITIES
Most of my consulting has been conducted jointly with Marti
Subrahmanyam, NYU and recently has been concentrated in the
area of interest rate derivatives.
We have worked with the following organisations:-
Barclays, Plc, London
Risk management systems for market and credit risk
management, audit of derivative pricing, audit of credit risk
management system. Yield curve models.
Deutsche Bank, Frankfurt
Valuation of caps, floors and swaptions.
Citibank, London
Analysis and valuation of foreign exchange options
given stochastic volatility.
QRI, Tokyo
Risk management systems for derivatives
World Bank, Washington
Interest rate derivatives, swaps, caps and floors
IMF, Washington
Interest rate derivatives, swaps, caps and floors
J. P. Morgan, New York
Audit training courses on interest rate derivatives
Sanwa International Limited, London
Derivatives and Risk Management
UFJ International, London
Derivatives and Risk Management
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