JOINT SEMINAR

Department of Operations Research and Operations Management
and
Department of Statistics
CWRU

TOPIC:  Models of Libor Rates, Calibration and Pricing of Exotic Options

SPEAKER:  Professor Marek Musiela, Univ. of New South Wales, Sydney, Australia

DATE:  Tuesday, Nov. 4, 1997

TIME:  11:15-12:45 pm
            Refreshments will be served at 10:30 am - 6th floor Enterprise

LOCATION:  Room 462 - Enterprise Hall

Biography:

Marek Musiela is head of the Financial Mathematics Group in the Mathematics
Department at the University of New South Wales in Sydney.  In recent years
he has concentrated his research and teaching activities on financial
mathematics, with a particular emphasis on term structure modeling and the
pricing of exotic options.  His publications include numerous articles on
stochastic calculus, interest rate models and financial derivatives.  His
recent book, co-authored with Marek Ruthowski, is entitled "Martingale
Methods of Modelling".  His is a consultant to banks and software
companies.



Ms. Ladd Sheets, Dept. Assistant                  phone: 216-368-6941

Statistics Department                                  fax: 216-368-0252
Case Western Reserve University               email:  lfs2@po.cwru.edu
10900 Euclid Avenue
Cleveland, OH  44106-7054