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Day 1: Models for Inflation and for Inflation-linked Financial Products |  |
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Presenters:
Dr Dorje C Brody: Reader in Mathematical Finance, Imperial College London
Professor Lane P Hughston: Professor of Mathematical Finance, Imperial College London
Dr Andrea Macrina: Lecturer in Financial Mathematics, King's College London
1. Overview of main issues for inflation modelling
2. Pricing kernel techniques for inflation
- Introduction: Why pricing kernels?
- Defining the pricing kernel methodology
- Dynamical models for risky assets
- The dynamics of discount bonds
- The volatility structure approach: pros and cons
- Pricing formulae for discount-bond
- Forward rates: relation to the HJM model
- Asymptotic conditions on long-dated discount bonds
3. Calibration of the term structure models for real and nominal interest rates
- Conditional variance representation for the pricing kernel
- Parameterisation of interest rate dynamics
- The role of chaos expansion in term-structure calibration
- First chaos models
- Second chaos models
- Factorisable second chaos models
4. Foreign exchange, equity indices, commodities, and inflation
- Interest rate and general ``foreign exchange'' systems
- Quotient representation for exchange-rate matrix
- Geometric analysis of price volatility
- Foreign discount bonds
- Price levels: towards hybrid modelling for inflation linked products
- Geometric Brownian motion model
5. Modelling inflation-linked derivatives
- Inflation derivatives and inflation-linked products
- Dynamical frameworks for inflation and inflation-linked products
- The FX analogy and its applications
- Real and nominal interest rates
- Dynamics of the consumer price index
- Convexity adjustments in inflation-linked derivatives
- Pricing inflation swaps with delayed payment using the multi-factor Hughston-Jarrow-Yildirim model
- Monetary models for the real pricing kernel
- Sidrauski-type utilities
- Worked examples
6. Modelling commodity prices and their relation to inflation
- Storable commodities
- Modelling the convenience yield process
- Orthogonal decomposition properties of OU processes
- Valuation of commodity prices
- Option valuation for commodity prices
- Impact of inflation
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: Models for Inflation and for Inflation-linked Financial Products | Day 2: Inflation Derivatives | Day 3: Inflation Derivatives | Details: | download pdf
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Day 2: Inflation Derivatives | |
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09.00 - 10.45 Inflation Derivatves
Presenter: Jeroen Kerkhof: Executive Director, European Head of IR Desk Strategies, Morgan Stanley
- Market overview
- Curve construction
- Marking to market / risk management of inflation swaps portfolios
- Inflation volatility products
10.45 - 11.00 Break
11.00 - 12.30: Strategies in Inflation-Linked Markets
Presnter: Khrishnamoorthy Sooben: Inflation-Linked Strategist, Barclays Capital
- Overview of market drivers
- Review of technical aspects - seasonality, effective duration and beta...
- Strategies in inflation-linked bonds and swaps
- Strategies in non-linear inflation derivatives
12.30 - 13.30 Lunch
13.30 - 15.00: Inflation and Liability Management
Presenter: Nicolas Sagnes: Head of Inflation Structuring, BNP Paribas
- Overview of the inflation market
- The rationale for paying inflation
- The main inflation payers
- The case of a Treasury
- Derivatives vs bonds
- Accounting considerations
15.00 - 15.15 Break
15.15 - 16.45: Managing Inflation Exotics
Presenters: Dan Haehnel & Jonathan Levy: Inflation Exotics Trading Desk, Societe Generale
Inflation Market
- General Layout
- Vanilla products dealt
- Impacts on our business:
Risk management and projections choices
Convexity risks with new stakes on zero coupon liquidity
- Development of an asset class: the French TLA
Managing Inflation Exotics
- Inflation exotics stakes
- Stochastic volatility priced under the Heston Model
- Bermudean swaption pricing
Day 1: Models for Inflation and for Inflation-linked Financial Products | Day 2: Inflation Derivatives | Day 3: Inflation Derivatives | Details: | download pdf
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Day 3: Inflation Derivatives | |
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09.00 - 10.30: "Theory and Practice of Inflation Derivative vs Inflation-Indexed Bond Relative Value Pricing"
Presenter: Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
- Why relative value pricing?
- Supply/demand dynamics
- 'Arbitrage' instruments
- Historical relative value analysis in the US, UK, and Euro-zone markets
- Practical trading perspectives
10.30 - 11.00 Break
11.00 - 12.30: "Post-Credit Crunch Approaches to Trading Inflation Derivatives"
Presenter: Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
- Pricing for 'Black Swan' scenarios
- Counter party risk, collateral, haircuts, and other practical issues
- Mark-to-market issues when market illiquidity result in uncertainty in Closing prices
- Fixing risks in a deflationary scenario
- Inflation floors in structured notes and in IL bond asset swaps
12.30 - 13.30 Lunch
13.30 - 15.00: Global Inflation Products Portfolio: A Practical Approach of Managing Inflation & Deflation Risks
Presenter: Brice Benaben: Global Head of Inflation Trading, Deutsche Bank
- Understanding the Inflation-linked products in G10 and EM countries
- Understanding their different risks (credit risk, the greeks in the nominal world and inflation world)
- Building efficient risk management tools and extreme inflation events scenarii (Example: Disconnection between the cash and derivatives market)
- Building its trading tools (forward CPI curve, seasonality, asset swap spread)
- Practical issues of managing an International Inflation products portfolios
15.00 - 15.15 Break
15.15 - 16.45: Inflation Risk and Asset and Liability Management
Presenter: Brice Benaben: Global Head of Inflation Trading, Deutsche Bank
- Example of inflation risk within pension funds and insurance companies
- Hedging the linear and non linear risk
- Inflation swaps and Inflation options
- Understanding the convexity
Day 1: Models for Inflation and for Inflation-linked Financial Products | Day 2: Inflation Derivatives | Day 3: Inflation Derivatives | Details: | download pdf
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Details: | |
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Location:
Melia White House Hotel
Albany Street
Regents Park
London NW1 3UP
Hotel Website
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: Models for Inflation and for Inflation-linked Financial Products | Day 2: Inflation Derivatives | Day 3: Inflation Derivatives | Details: | download pdf