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08.50 - 09.35: Vladimir Piterbarg: Global Head Of Quantitative Analytics Group, Barclays |  |
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Optimal Posting of Sticky Collateral
- Optimization problems arising from multi-currency CSAs with no or hard-to-enforce substitution rights
- Discrete and continuous-time formulation and simplifications
- Optimal collateral posting strategy via term rates
- HJB equation and numerical schema
- Switch boundary approximations
- Practical applications
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09.35 - 10.20: Marco Bianchetti: Head of Financial Modelling & Validation, Market Risk Management, Derivatives Pricing, Intesa Sanpaolo | |
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Consistent No-Arbitrage Derivatives' Pricing Including Funding And Collateral
Basic Assumptions
- Market Description
- Funding and Collateral
- Replication
- Feynman-Kac Theorem
Pricing Formulas Including Funding And Collateral
- Classical Black-Scholes from a modern perspective
- Perfect collateral case
- Multiple currency case
- General case
- Funding Value Adjustments
Conclusions
Break: 10.20 - 10.50
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10.50 - 12.30: Igor Smirnov: Head of Fixed Income Quantitative Research Europe, Banco Santander | |
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Capital & Liquidity Factors in Derivative Pricing
- Bullet points to follow soon
Lunch: 12.30 - 13.40
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13.40 - 15.10: Andrew Green: Head of Quantitative, Research, CVA/FVA, Lloyds Banking Group | |
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Holistic FVA
- Existing FVA (pricing) models
- Modelling FVA as the net cost of hedge collateral
- Book level FVA and CVA (DVA)
- Default close out impact on FVA
Break: 15.10 - 15.30
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15.30 - 17.00: Moorad Choudhry: Professor, Department of Mathematical Sciences, Brunel University | |
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Integrating FVA and Bank Internal Funding Policy (FTP)
- Implementing FVA into your bank's derivative funding policy
- Business best-practice FTP treatment of derivative position cash flows
- Not "off-balance sheet": uniform FTP treatment of derivative and cash assets and liabilities
- Collateral management, CSA cash flows, FVA and the integrated Treasury operating model
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17:00 – 18:00: Open Floor Q&A Sessions | |
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View Latest Practical CVA & Counterparty Credit Risk Advancements & Interest Rate Modelling, Multi Curves & Volatility Streams
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19:45: Gala Dinner - Augustiner Keller | |
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The Gala Dinner: Augustiner Keller is complimentary for all conference delegates