Title

Sales Training and Swaption Pricing under New Regulatory Environment

Faculty Advisor

Dougherty, Daniel J.

Faculty Advisor

Gerstenfeld, Arthur

Faculty Advisor

Xie, Weiwei

Center

Wall Street/London

Abstract

In order to address the changes resulting from the 2008-09 recession, this project created training for foreign exchange salespeople in Royal Bank of Scotland (RBS) on credit charges, funding rate changes, a new pricing tool and new-hire appropriate conduct, with technical improvements for some current applications. In addition to fulfil RBS's expectation, the project explores the pricing details of Interest Rate Swap Option (Swaption) in MATLAB through both analytical approach and Monte Carlo simulation.

Publisher

Worcester Polytechnic Institute

Date Accepted

March 2010

Major

Computer Science

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Computer Science

Advisor Department

Business

Advisor Department

Mathematical Sciences

Advisor Program

Computer Science

Advisor Program

Business

Advisor Program

Mathematical Sciences

Project Center

Wall Street/London

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