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08:50 - 10:40: Gangadhar Darbha: Head Algorithmic Trading Strategies, Global Markets, Nomura Structured Finance |
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Future Landscape of Market Microstructure and Algorithmic Trading in FX and Fixed Income
- New Regulatory proposals and future microstructure of FI and FX markets
- Opportunities and challenges
- Look at trends and highlight the scope and opportunities
- Discuss the challenges for algorithmic trading in fixed income from both modelling and system development perspectives
- Examples from Auto-hedging in FX and real-time Inventory management in Rates
The presentation will be followed by a Q&A session on Algorithmic Trading
Break: 10:40 - 11:00
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11:00 - 12:30: Jesper Andreasen: Global Head of Quantitative Research, Danske Bank |
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Stochastic Local Volatility Models
- SV expansion in a local volatility model
- Full stochastic local volatility models
- Forward and backward finite difference solution
- The multi asset case and Monte Carlo
Lunch: 12:30 - 13:50
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13:50 - 15:10: Peter Jaeckel: Managing Director, OTC Analytics | |
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A Study of Quanto Approximations in the Presence of Local and Stochastic Volatility
- Common approximations
- Consistent modelling of Quanto options
- A simple approximation for a simple local volatility model
- The implications of stochastic volatility
- Numerical examples
- Conclusion: do Quanto options warrant modelling them as exotic products?
Break: 15:10 - 15:30
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15:30 - 16:50: Dariusz Gatarek, National Bank of Poland | |
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CDO Pricing Suitable for Hybrid Products
The subject of the talk is a new top-down approach to CDO tranche pricing i.e. a model:
- Admitting a natural interpretation of model parameters in terms of individual spreads
- Fitting to all potential default distributions
- Suitable for individual names via top-down approach
- Consistent with equity, currency and interest rate models, hence suitable for hybrid products
- Having a natural extension to dynamic modelling and credit options
- Numerically tractable
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16:50 - 18:00: Open Floor Q&A Session | |
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Open Floor Q&A Sessions:
View Interest Rate Modelling & Credit Streams.
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20:00: Gala Dinner: Posada de la Villa Restaurant | |
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