Thursday 25th February
- From annuity measures to a common measure
- Joint Simulation of Swap rates
- Results and implications
Presenter to be confirmed
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.
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.
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
Chill out and chat informally at the end of the day on all things Ibor Transition, with the global quants community. The main meeting room will be moderated by WBS Training with mics open on request or simply grab a coffee or a glass of wine and jump into a breakout room:
- Main Meeting Room
- Private Rooms
- Breakout Rooms One (Maximum 6)
- Breakout Rooms Two (Maximum 12)