 |
Topics covered: |  |
|
 |
 |
Delegate Event Details:
Location:
Jurys Clifton Ford Hotel,
47 Welbeck Street,
London W1G 8DN
WEB:
Hotel Website
Nearest Tube: Bond Street
Registration:
Monday 27th: Commences at 08:00 with early morning coffee in the Bulstrode Suite.
Tuesday 28th: Commences at 08:00 with early morning coffee in the Bulstrode Suite.
Wednesday 29th: Commences at 08:30 with early morning coffee in the Welbeck Suite.
The workshop will run from Monday 27th November: 08:30 (prompt) to 17:30. Tuesday 28th November: 08:30 (prompt) to 17:30. Wednesday 29th November: 09:00 (prompt) to 17:15, with breaks for morning coffee, lunch and afternoon tea all of which will be provided within the hotel complex on all three days (all food and drink is included in the workshop fee).
Note: The cocktail party taking place on Tuesday 28th November (17:30 - 19:30) is available to ALL DELEGATES (attending one, two or all three workshop days).
DAY 1: Interest Rate Modelling: From Basic – Hybrids Workshop
- Interest-rate modelling: the basics
- Applications: short rate models, positive-interest models, chaotic models
- Interest rate and foreign exchange hybrids
- Conditional variance models for foreign-exchange volatility
- Interest rate and inflation hybrids
- Payout structures for inflation-linked hybrid products
- Interest rate and credit hybrids
- Market-information models for credit-linked structures
Presenters:
Dorje C. Brody: Royal Society University Research Fellow, Imperial College London
Lane P Hughston: Professor of Financial Mathematics, King's College London
DAY 2 Latest Developments: Interest Rate Modelling Techniques
- Stochastic volatility term structure models forcallable swaps
- Modeling challenges with callable swaps
- The Swaption Smile and CMS Convexity Adjustments
- Introducing the displaced diffusion LIBOR model with uncertain shifts
- Approximations of LIBOR Market Model
- Linear and Non linear Pricing of Swaptions
- Generic and CMS Market Models and Measures
- Extending LIBOR and swap market models
Presenters:
Claudio Albanese: Chair of Mathematical Finance, Imperial College London
Dariusz Gatarek: Glencore International
Fabio Mercurio: Head of Financial Models, Banca IMI
Raoul Pietersz: Senior Derivatives Researcher, ABN Amro
DAY 3: Latest Developments: Interest Rate Hybrid Products
- On the Term Structure of Portfolio Loss Distributions
- FX Hybrids Modelling
- Modelling the long-dated FX smile
- Skew dynamics on FX and interest rates
- Impact of skew dynamics on exotics
- Correlation Smile and Hybrid Pricing
- Evolution of the Correlation Smile
Presenters:
Pierre-Olivier Rieu: Derivatives Researcher, Deutsche Bank
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
Chris Hunter: Hybrids Trader, BNP Paribas
Jakob Sidenius: Senior Quantitative Analyst, JPMorgan
Topics covered: | Details: | download pdf
|
Details: | |
|
|
|
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 201352
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.