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Day 1: The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles: Riccardo Rebonato |  |
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Presenter: Presenter: Riccardo Rebonato: Global Head of Market Risk & Global Head of Quantitative Research, Royal Bank of Scotland
The LIBOR Market Model framework (deterministic volatility)
- Deriving the Drifts of the Forward Rates
- Specifying the volatility
- Specifying the correlation
- Calibrating
The SABR Model
- Pricing formulae
- Special Cases
- Qualitative Hedging Behaviour
- Pitfalls
Combining LMM and SABR
- Deriving the Drifts of the Forward Rates
- Deriving the Drifts of the Volatilities
- Analytical Approximation to Swaption Prices
Calibrating
- Calibrating the Volatility Function
- Calibrating the Volatility of Volatility
- Calibrating the Correlation Structure
- When to use to Implied Approach and When to Use the Historical Approach
Empirical Evidence
- Estimating the Volatilities
- Estimating the Volatility of Volatility
- Estimating the Correlation Structure
- Statistical Behaviour of Fitted Parameters, and How to Use This Information for Hedging
Hedging
- Hedging under Normal Market Conditions: How to Quantify the Exposure to Level, Slope and Curvature of the Smile
- Hedging under Conditions of Market Turmoil
Day schedule: 09:00 – 17:00
Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30
Day 1: The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles: Riccardo Rebonato | Day 2: Interest Rate Modelling & Interest Rate Exotic Products | Details: | download pdf
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Day 2: Interest Rate Modelling & Interest Rate Exotic Products | |
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09.00 - 10.30: Analytical Formulas for Pricing CMS Products in the LMM Model
Presenter: Alexandre Antonov: Senior Quantitative Analyst, NumeriX
- Simultaneous calibration to European swaptions and European CMS products
- Approximation of the European CMS products for the BGM SV model: basic idea
- Case studies:
Approximation of the CMS swaps and CMS caps
Approximation of the CMS spread options
- Numerical experiments
10.30 - 10.45 Break
10.45 - 12.45 Adjusters, Internal Adjusters, and Pricing Callable Exotics
Presenter: Pat Hagan: Head, Quantitative Analytics, Chief Investment Office, JP Morgan
- Need for risk migrators
- External adjusters
- Rationale for internal adjustors
- Example: Callable range notes
- Extension to other callable exotic
12.45 - 13.45 Lunch
13.45 - 15.15: Valuing and Trading Interest Rate Derivatives in a Short Rate Model with Stochastic Volatility
Presenter: Sandrine Ungari: Quantitative Strategy, Société Générale
- A model with Heston volatility
- Solving the model and pricing options
- How the model simulates changes in the curve and in the volatility surface
- Estimating the model
- Historical and relative value analysis
15.15 - 15.30 Break
15.30 - 17.00: Stochastic Interest Rates for Local Volatility Hybrids Models
Presenter: Eric Benhamou: CEO, Pricing Partners
- Bias for local volatility model with stochastic Interest rates
- Reduced form for hull and white type models
- Impact on local volatility
- Numerical results and fast calibration
Day 1: The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles: Riccardo Rebonato | Day 2: Interest Rate Modelling & Interest Rate Exotic Products | 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: The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles: Riccardo Rebonato | Day 2: Interest Rate Modelling & Interest Rate Exotic Products | Details: | download pdf