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09.00 - 10:30: Alexandre Antonov: Senior Quantitative Analyst, NumeriX |  |
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Analytical Approximation for the Shifted Multi-Factor HW Model
- Model definition
- Properties:
A. Rates decorrelation
B. Skew control
C. Numerical effectiveness
- Approximation:
A. Zero bonds
B. Arrow-Debreu price
C. Swaption price
Break: 10:30 - 11:00
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11:00 - 12:30: John Ryan: European Head of FX Quants, Santander | |
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Pricing and Hedging Barrier Options in the Presence of Jumps
- The standard risk neutral hedging arguments are examined in the presence of jump dynamics to demonstrate how the hedge, risk neutral transition density and the concept of market completeness are affected.
- The pricing equation is formulated in a pure integral form to better illustrate the correspondence between the risk neutral hedge and standard replication strategies for barrier options.
- A simplified example of a one-dimensional homogeneous model is examined using the Weiner-Hopf technique to obtain closed form solutions for the price and the hedge portfolio.
- A final simplification to a double-exponential jump probability is presented to demonstrate features of the hedge and make connections to previously known results.
Lunch: 12:30 - 13:30
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13:30 - 15:00: Martin Baxter: Analyst, Fixed Income Quantitative Research, Nomura International | |
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Practical Implementation of Fast Greeks in your analytics library
- Advantages of calculating Greeks internally in a fast semi-analytic way
- Chain rule re-imagined – forwards and backwards Greeks
- Block archictecture for Greeks – calculators and allocators
- Greeks of a single routine – local use of the allocator architecture
- Taking Greeks of root-finding and optimisation routines
- Fast Greeks on trees and lattices
Break: 15:00 - 15:15
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15:15 - 16:30: Peter Austing: Quantitative Analytics, Barclays Capital | |
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Repricing the CMS smile with Methods from Foreign Exchange
- Constructing a model consistent with cms smiles and a cms spread smile is related to the problem of a model for driving assets and cross in FX
- Introduction to the FX problem and how to relate it to the CMS problem
- Best-of contracts have some special properties
- They allow us to construct a joint probability density repricing the triangle of smiles analytically
- Then we can value more general european contracts
- And address the question of whether there is arbitrage in the triangle of smiles