Sydney Financial Mathematics Workshop

Sponsored by

Westpac

There are an awful lot of options in Brazil

Alan Brace (Paribas, New York)

Time: 5:15--7:00 pm
Date: Thursday 8th April 2004
Venue: Edith Lamb Room, Ground Floor, Westpac Offices, 60 Martin Place, Sydney

Abstract

Brazil, faced with financial problems different from other economies, has evolved instruments to cater for its needs that are not seen elsewhere. Interestingly, its market has also priced one option in a way that implies an underlying BGM model.

Presentation and Paper

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