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Day 1: Interest Rate Modelling: Pricing, Hedging & Calibration Techniques |  |
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Presenter: Pat Hagan: Head, Quantitative Analytics, Chief Investment Office, JP Morgan
09:00 – 10:30: Managing Smile Risk
- Swap market basics and delta trading
- Vanilla interest rate options and managing vega risk
- Theory of Dupire and local vol models
- The SABR model, vanna, volga and managing smile risk
- Levy based models
10.30 - 10.45 Morning Break
10:45 – 12:30: Managing Exotic Interest rate Products
- Key interest rate risks
- Calibration/pricing/hedging cycle
- Models for exotics
HJM models
BGM models
Short rate models
Markovian models
- Summary
12.30 - 13.30 Lunch Break
13:30 – 15.15: Practical Pricing of Exotics
- Auto-calibration/global calibration
- LGM model
- Calibration strategy and choice of calibration instruments
- Example: calibration and pricing Bermudan swaption
- Price, risks, hedging and the calibration instruments
- Extension to other callable exotics
Callable Inverse Floaters, Superfloaters, Range Notes and Captions
15.15 - 15.30 Afternoon break
15:30 – 17:15: Pricing Callable Range Notes
- Adjusters and risk migration
The need for risk migration
Adjusters
Adjusted price
- Callable range notes
Deal definition
LGM model (reprise)
Convexity adjustment and payoff replication
Pricing with adjusters
Swaption and caplet risks
Day 1: Interest Rate Modelling: Pricing, Hedging & Calibration Techniques | Day 2: Interest Rate Modelling | Day 3: Interest Rate Exotic & FX Hybrid Products | Details: | download pdf
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Day 2: Interest Rate Modelling | |
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09:00 - 11:00 Mathematical Theory of Interest Rate Term Structure Dynamics and Calibration
Presenters: Dorje C. Brody: Reader in Mathematics, Imperial College London & Lane P Hughston: Professor of Financial Mathematics, King's College London
- Overview of the pricing kernel methodologies
- Dynamics of discount bonds, HJM equations
- The volatility structure approach: pros and cons
- Conditional variance representation for the pricing kernel
- Parametrisation and calibration of interest rate dynamics
- The role of Wiener chaos expansion in term-structure calibration
- First and second chaos models
- Interest rate options
11:00 - 11:15 Break
11:15 - 12:45: Least Squares Importance Sampling for Libor Market Models
Luca Capriotti: Vice President, Global Modelling and Analytics Group, Credit Suisse Investment Banking Division
- Monte Carlo simulations. Basics
- Importance Sampling and Stratified Sampling
- Least Square Importance Sampling (LSIS) & Effective Stratification
- Simulating Libor Market Models
- Examples & Numerical Results
12:45 - 13:45 Lunch
13:45 - 15:15 Markov Functional Models (including Multi-Currency, Multi-Factor and Forward Smile)
Presenter: Simon Johnson: Co-head of Credit and Interest Rate Financial Engineering, Commerzbank
- Introduction to Markov Functional Models
- 1-factor Markov Functional Models: the Hunt-Kennedy-Pelsser calibration method
- Markov Functional models and forward smile
- Cross-currency Markov Functional models and preserving the driftless condition
- Multi-factor Markov Functional models and generalising the driving process
15:15 - 15:30 Break
15:30 - 17:00 CMS & CMS Spread Options
Presenter: Sandrine Ungari: Quantitative Research, Société Générale
- Relative value
- Pricing & modelling of correlation copula models Markovian projection
- Swaptions arbitrage
- Wedges
Day 1: Interest Rate Modelling: Pricing, Hedging & Calibration Techniques | Day 2: Interest Rate Modelling | Day 3: Interest Rate Exotic & FX Hybrid Products | Details: | download pdf
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Day 3: Interest Rate Exotic & FX Hybrid Products | |
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09:00 - 10:30 Cross Currency Models
Presenter: Messaoud Chibane: Senior Quantitative Analyst, Bank of America
Examples of typical products
- Two economy Libor Market Model
- Two economy Hull and White with FX skew
History of FX model for long dated structures
- Cross-Currency Libor Market Models
- Modelling the long-dated FX smile
10:30 - 11:00 Break
11:00 - 12:30 Long Dated FX Hybrids
Presenter: Dherminder Kainth: QuARC, Royal Bank of Scotland
- PRDC and FX Tarn payoffs
- The Heston model for stochastic volatility & efficient simulation of the Heston sde.
- FX barriers, stochastic skew and multifactor Heston. Calibrating the stochastic skew.
- Longdated FX models; Extending multifactor Heston model for pricing long dated FX options
- Some results
12:30 - 13:30 Lunch
13:30 - 15:00 Exotic Interest Rate Pricing with Trees
Presenter: Michael Roehl: Senior Quant – Interest Rate Modelling/Hybrids, Morgan Stanley
Gaussian Model and Extensions
- Parameters and Interpretation
- Skew Modelling
- Instantaneous vs. Terminal correlation
- Approximate Solutions for Calibration
Pricing Exotics
- Local vs Global Calibration
- Examples: Bermudans, Inverse Floaters and Range Accruals
- Path Dependency in Trees
- How to do it: Binning
- Smoothing and Examples
15:00 - 15:15 Break
15:15 - 16:45 Wavelet Option Pricing
Stefano Galluccio: Co-head of Exotic and Hybrid Derivatives Trading, BNP Paribas
General Pricing using the Green functions
- The Green function as pricing operator
- Projection of the Green operator on a wavelet basis
Implementation:
- Black and Scholes case
- Heston case
Application to the pricing of bermudan options
Day 1: Interest Rate Modelling: Pricing, Hedging & Calibration Techniques | Day 2: Interest Rate Modelling | Day 3: Interest Rate Exotic & FX Hybrid Products | Details: | download pdf
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Details: | |
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Location:
Jurys Clifton Ford Hotel
47 Welbeck Street
London W1G 8DN
Hotel Website
Nearest Tube: Bond Street
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.
Day 1: Interest Rate Modelling: Pricing, Hedging & Calibration Techniques | Day 2: Interest Rate Modelling | Day 3: Interest Rate Exotic & FX Hybrid Products | Details: | download pdf