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Day 1: Interest Rate Modelling & Risk Management
- Stochastic Volatility in Interest Rate Models
- SQ-BGM Model
- 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
- Fast and Robust Calculation of Monte-Carlo Sensitivities
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: Head Quantitative Analytics, Chief Investment Office, JP Morgan
Day 2: Interest Rate Hybrids
- Model Misspecification
- Pricing and Hedging Hybrid Derivatives
- Modelling the Long-Dated FX Smile
- Stochastic Skew Models for FX Derivatives and Applications
- FX Hybrids Modelling
- Pricings of Equity / Interest Rates Hybrids
- Local Volatility and Stochastic Volatility Models with Stochastic Interest Rates
- Case Study: Pricing of Equity / Interest Rates Coupon Structures
- Pricing Inflation / Interest Rate Hybrids
- Valuing inflation - IR spread products
Presenters:
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
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
Day 3: 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 Spread
Presenter:
Massimo Morini: Financial Consultant
Location:
The Millennium Hotel London Knightsbridge
17 Sloane Street
London SW1X 9NU
Hotel Website
Nearest Tube: Knightsbridge
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.