Convexity correction for forward rate agreements with payments in arrears. Calibration of multifactor HJM models for the forward curve. Lattice models . Calibration theory for lattice models. Binomial and trinomial models.
Lattice models with state-dependent volatility.
The Hull-White models on a lattice. Regulatory directives concerning capital charges. Estimation problem for the covariance matrix in the context of back-testing. Mapping for various asset classes, including fixed income, equity and foreign exchange instruments. Analytical and numerical methods .