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Day 1: The Practicalities of LIBOR Market Models
Peter Jaeckel: Global Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro
- 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
Day 2: The Latest Advancements of the LIBOR Market Model
Riccardo Rebonato: Global Head of Market Risk and Quantitative Research, Royal Bank of Scotland
- What do we need to price interest-rate derivatives?
- Why can the LMM provide the tool we need for this?
- The no-arbitrage drifts: a universal recipe for all products
- Volatility and correlation for the LMM (single currency and multi-currency)
- Calibrating to caplets and linking caplet and swaption volatilities
- Empirical evidence: implied volatility, swaption volatility, Principal Components of volatility changes
- The ingredients for the IR smile: displaced diffusion versus CEV - theoretical and practical issues
- Further smile features: stochastic volatility and regime shift
- Questions from the delegates
All delegates will receive a complimentary copy of the Wiley 2004 publication: Volatility and Correlation, The Perfect Hedger and the Fox by Riccardo Rebonato
Location:
Hotel Gritti Palace
Campo Santa Maria del Giglio
Venice 30124
Italy
Hotel website
Each workshop day will be held in the Salone Gritti room (the event and room will be sign posted).
Event times:
Each day the event will begin at 09:00 prompt and run to approx 17:00.
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Peter Jaeckel
Peter Jäckel received his DPhil from Oxford University in 1995. He started his career in quantitative analysis and financial modelling in 1997, when he joined Nikko Securities. Following that he worked with Riccardo Rebonato in the Quantitative Research Centre of the enlarged Royal Bank of Scotland Group where his primary responsibilities were independent model validation and derivatives modeling research.
In December 2000, he joined Commerzbank Securities as a quant in their front office product development and derivatives modelling unit (Financial Engineering). Since May 2003 he has been global co-head of the team. Peter is currently Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro. He is the author of the book "Monte Carlo methods in finance" published by John Wiley's in March 2002.
Riccardo Rebonato
Riccardo Rebonato is a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP.
He is an Editor for the International Journal of Theoretical and Applied Finance, for Applied Mathematical Finance., for the Journal of Risk and for the Journal of Risk Management in Financial Institutions.
He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics, and was a Research Fellow in Physics at Corpus Christi College, Oxford, UK.
He is the author of the books Plight of the Fortune Tellers – Thoughts on the Quantitative Management of Financial Risk (2007), Volatility and Correlation in Option Pricing (2004, 1999), Modern Pricing of Interest-Rate Derivatives (2002), Interest-Rate Option Models’ (1998, 1996). He has published several papers on finance in academic journals. He is a regular speaker at conferences world-wide.