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World Business StrategiesServing the Global Financial Community since 2000

Thursday 25th February: Day 4

Consistent Multivariate Modelling of Swaptions and CMS Derivatives

EST: 08.00
GMT: 13.00
CET: 14.00

Aspects discussed:

  • From annuity measures to a common measure
  • Joint Simulation of Swap rates
  • Results and implications

Presenter to be confirmed

Elias Daboussi:

Quantitative Analyst, Bank of America Merrill Lynch

Elias Daboussi: Quantitative Analyst, Bank of America Merrill Lynch

Elias Daboussi is a quantitative analyst at Bank of America since 2016. After graduating from University Paris-Diderot and Supelec in 2014, he has specialized in the Rates and Hybrids area, first in the Model Risk Management Group, and now as part of the Quantitative Strategies Group.

Topic to be Confirmed

EST: 09.00
GMT: 14.00
CET: 15.00

Fabio Mercurio: 

Global Head of Quant Analytics, Bloomberg L.P.

Fabio Mercurio: Global Head of Quant Analytics, Bloomberg L.P.

Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

Topic and Presenter to be Confirmed

EST: 10.00
GMT: 15.00
CET: 16.00

Convexity with collateral for Stochastic Libor-OIS/SOFR spreads, a semi-analytic approach

EST: 11.00
GMT: 16.00
CET: 17.00

Emiliano Papa:

Director – Quantitative Analyst, Deutsche Bank

Emiliano Papa: Director – Quantitative Analyst, Deutsche Bank

  • Director – Quantitative Analyst, Deutsche Bank
  • PhD in Theoretical Physics Oxford
  • Lecturer at University of Texas at Austin
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