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Delegate information for the WBS Training USA Fixed Income Derivatives Week |  |
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Monday 15th - Friday 19th May 2006
Location:
The Warwick New York Hotel
65 West 54th Street, NYC, New York 10019, USA
Tel: +1 212 247 2700 Fax: +1 212 247 2725
The Warwick Hotel NY Website
Each workshop day will be held in the following meeting room (the event and room will be sign posted on each day):
- Monday 15th: Essex Suite
- Tuesday 16th: Essex Suite
- Wednesday 17th: Randolph's Too
- Thursday 18th: Essex Suite
- Friday 19th: Essex Suite
Registration:
- Monday 15th: Commence at 08:30 with early morning coffee in the Essex Suite
- Tuesday 16th: Commence at 08:00 with early morning coffee in the Essex Suite
- Wednesday 17th: Commence at 08:00 with early morning coffee in Randolph's Too
- Thursday 18th: Commence at 08:30 with early morning coffee in the Essex Suite
- Friday 19th: Commence at 08:30 with early morning coffee in the Essex Suite
The workshop will run from:
- Monday 15th May: 09:00 (prompt) to 17:00
- Tuesday 16th May: 08:30 (prompt) to 17:30
- Wednesday 17th May: 08:30 (prompt) to 18:00
- Thursday 18th May: 09:00 (prompt) to 17:45
- Friday 19th May: 09:00 (prompt) to 17:15
(Each day includes breaks for morning coffee, lunch and afternoon tea all of which will be provided within the hotel complex. All food and drink is included in the workshop fee).
Delegate information for the WBS Training USA Fixed Income Derivatives Week | Topics covered | Details | download pdf
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Day 1: Introducing Inflation-linked Securities and Derivatives:
Introductory / Intermediate
- Inflation and Inflation-Linked Bonds
- Investors and the Demand forInflation-Linked Products
- Inflation-Linked Securities and Derivatives: Perspectives forTraders and Issuers
- Inflation Swaps and Inflation-Link Product
- Structuring Building the Inflation Curve
- Pricing and Trading Options on Inflation
Presenters:
David Murphy & Andrew Street: Value Consultants Limited
Day 2: Latest Developments of Inflation-linked Derivatives
- Models forreal interest rates and inflation: New Directions
- General theory of inflation dynamics
- "Hidden variables" models forinflation
- Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
- The Road Ahead: what to watch out forin this fast developing market
- AUsers’Manual on Inflation Derivative Products
- iStrips
- Structured Products on the market
- Potential structures that might be of interest to the market, and general view on the outlook of the inflation derivative market.
Presenters:
- Gang Hu: Associate Director of U.S. Inflation Trading, Barclays Capital
- Lane P Hughston: Professor of Financial Mathematics, King's College London
- Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
Day 3: Latest Developments: Interest Rate Derivatives / Interest
Rate Hybrid Products
- Overview of the General Theory of Interest Rate / Hybrid Models
- Pricing and Hedging of Callable Exotic Swaps
- The LIBOR market model and stochastic volatility extension
- Solving the stochastic control problem using Monte Carlo
- Practical implementation issues and variance reduction techniques
- Complete overview of Interest Rate / Equity Hybrids
- Correlation Smile and Hybrid Pricing
Presenters:
- Tariq Dennison: Vice President, Bear Sterns
- Lane P Hughston: Professor of Financial Mathematics, King's College London
- Chris Hunter: Managing Director, BNP Paribas
- John Uglum: Executive Director, Morgan Stanley
Day 4: The Latest Developments: Credit Derivatives
- The Correlation Skew and Correlation Modelling
- The Gaussian Copula Model and Beyond
- The Correlation Skew and Base Correlations
- Fast Pricing of Exotic Tranches
- Conditional tranche curves
- Forward starts, subordination step-ups and more
- Monte Carlo forCredit Risk and Credit Derivatives
- Fast pricing of basket default swaps
- Accelerating Monte Carlo by increasing default rates
- Working at the Event Horizon: Credit Risk Near Default Events
- Models of default events, the good, the bad and the ugly
- I wonder how wide spreads are today: Does credit derivative liquidity around default events matter?
Presenters:
- Aaron Brown: Head of Credit Risk Architecture, Morgan Stanley
- Jon Gregory: Global Credit Derivatives, Barclays Capital
- Paul Glasserman: Professor of Risk Management,
- Columbia Graduate School of Business
- Marco Naldi: Senior Vice President: Quantitative Credit Research: Lehman Brothers
Day 5: The Latest Developments: CDOs & CDO^2
- Overview of CDOs
- CDOs: Credit Selection, Trade Construction, and Portfolio Optimization
- CDO Equity as an Asset Class
- CDOs in Portfolios of Traditional and Alternative Assets
- Customizing CDO Tranche Trades
- Credit Portfolio Correlation Skew Modelling
- Alternative Bespoke CDO pricings
- Market overview forsynthetic CDO^2
- CDO2 pricing: Price a CDO2 consistently with the pricing of the underlying CDOs
- Construction of synthetic CDO^2
- Furtherextensions of CDO^2 technology
Presenters:
- Terry Benzschawel: Director of Quantitative Credit Modeling and Analytics, Citigroup
- David Li: Head of Quantitative Analytics Credit Derivatives, Barclays Capital
- Michael liang: Quantitative Analytics Credit Derivatives, Barclays Capital
- Maximo Silberberg: Vice President, Structured Credit, JPMorgan
Delegate information for the WBS Training USA Fixed Income Derivatives Week | Topics covered | Details | download pdf
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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.
Delegate information for the WBS Training USA Fixed Income Derivatives Week | Topics covered | Details | download pdf