# Lectures and Presentations

-WKB Method for Swaption Smile

NYU, Mathematical Finance Seminar, 2/7/02

-The Uses of Differential
Geometry in Finance

Bloomberg, 11/25/05

-Effective Techniques
for Risk Management
of Mortgage Portfolios

2007

-LIBOR Market Model and
Its Uses

2007

-Mortgage Options: Valuation, Risk Management & Relative Value

2008

-Dynamic Mortgage Rate Replication and Risk Management of MBSs

Recent Developments in Derivatives Pricing, NYU, 6/19/10

-Option Smile and the SABR Model of Stochastic Volatility

MIT, 3/20/14

## Interest Rate and FX Models

NYU, 2013
Lecture 1

Lecture 2

Lecture 3

Lecture 4

Lecture 5

Lecture 6

Lecture 7

Lecture 8

## Interest Rate Volatility

First Baruch Volatility Workshop, June 2015
I. Volatility in fixed income markets

II. SABR and its flavors

III. Working with SABR

IV. The SABR-LMM model

V. Working with SABR-LMM

VI. Managing interest rate volatility risk