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Day 1: The Practicalities of Libor Market Models
- Derivation of the Indirectly Stochastic Drift
- Futures Convexity Corrections in the Libor Market Model
- Standard and Skewed Libor Market Model Dynamics
- Parametrisation of Correlation and Volatility Backbone
- Analytical Calibration to Coterminal Swaptions
- Non-Parametric Volatility Specification
- Cross-Currency Libor Market Modeling
- Calibration of FX Volatilities in a Cross-Currency Libor Market Model
Presenter:
Peter Jaeckel: Global Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro
Day 2: Interest Rate Hybrids: FX / Commodities
- FX Hybrids Modelling
- Modelling the Long-Dated FX Smile
- Stochastic Skew Models for FX Derivatives and Applications
- Implementation of 3 Factor Lattice Models
- Impact of Jumps on Correlation Modelling
- Multi-Asset Jump Diffusion
- Commodity Hybrids Trading
- Correlation Trading in Commodities: The Burgeoning Interbank Market
Presenters:
Claudio Albanese: Bloomberg LP, New York & Imperial College London
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
James Groves: Barclays Capital, Head of Commodities Hybrids Trading
Chris Hunter: Hybrids Trader, BNP Paribas
Day 3: Interest Rate Modelling
- Modeling the Volatility Surface
- Conventional Models
- Model Misspecification and Hedging Robustness
- Determine Closed-Form Expressions for the Total Replication Error
- Monte-Carlo Pricing of Bermudan Options
- Correction of Super-Optimal and Sub-Optimal Exercise
Presenters:
Philippe Balland: Managing Director in the Fixed Income Division, Merrill Lynch
Christian Fries: Head of Model Development, Rates and Hybrids, DZ Bank
Stefano Galluccio: Co-head of Exotic and Hybrid Derivatives Trading, BNP Paribas
Pat Hagan: Brevan Howard
Day 4: New Advances in Market Models for Interest Rates
- Pricing the Smile: a LIBOR Model with Uncertain Parameters
- Derivation of Analytical Formulas for Caps and Swaptions
- Model's Implications: Forward Volatilities and Implied Swaptions Smile
- A Specific Case allowing for an Exact Calibration to ATM Volatilities
- Introducing the CMS Convexity Adjustments
- A Joint Calibration to Swaptions and CMS Swap Spreads
Presenters:
Fabio Mercurio: Head of Financial Models, Banca IMI
Massimo Morini: Financial Consultant
Day 5: Interest Rate Hybrids: Credit / Equity / Inflation
- Model Misspecification
- Pricing and Hedging Hybrid Derivatives
- New Classes of Models for Equity / Interest Rates / Credit Hybrids
- Local Lévy Models to Capture Forward Skews
- Pricing Inflation / Interest Rate Hybrids
- Valuing inflation - IR spread products
Presenters:
Helyette Geman: Prof. of Mathematical Finance Birkbeck, University of London and ESSEC Business School, Member of the Board of the UBS - Bloomberg Commodity Index.
Alexander Giese: Co-Head of Quantitative Research Equities, Commodities and Portfolio Strategies, HypoVereinsbank
Jeroen Kerkhof: Vice President, Morgan Stanley
Youssef Randjiou: Head of Hybrid Derivatives Research, Citigroup
Location:
Melia White House Hotel
Albany Street
Regents Park
London NW1 3UP
Hotel Website
Topics covered: | Details: | download pdf
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Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 674400
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.