Wednesday 24th February
- Collateral big bang: theoretical clean process
- OIS valuation with collateral change
- Big bang and IBOR forward convexity adjustment
Managing Partner muRisQ Advisory and Visiting Professor, University College London
Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London
Over the last 20 years, Marc has worked in various areas of quantitative finance. Marc’s career includes Head of Quantitative Research at OpenGamma, Global Head of Interest Rate Modeling for Dexia Group, Head of Quantitative Research and Deputy Head of Interest Rate Trading at the Bank for International Settlements (BIS) and Deputy Head of Treasury Risk also at BIS.
Marc’s research focuses on interest rate modeling and risk management. More recently he focused his attention to market infrastructure (CCP and bilateral margin, exchange traded product design, regulatory costs). He publishes on a regular basis in international finance journals, and is a frequent speaker at academic and practitioner conferences. He recently authored two books: The multi-curve framework: foundation, evolution, implementation and Algorithmic Differentiation in Finance Explained.
Marc holds a PhD in Mathematics from the University of Louvain, Belgium. He has been research scientist and university lecturer in Belgium, Italy, Chile and the United Kingdom.
Reader in Mathematics, University College London (UCL)
Andrea Macrina: Reader in Mathematics, University College London (UCL)
Andrea holds a PhD in Mathematics from King’s College, University of London, and an MSc in Physics from the University of Bern, Switzerland. He is a Reader in Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. He also holds an Adjunct Professorship at the University of Cape Town in the African Institute of Financial Markets and Risk Management (AIFMRM). Andrea is one of the principle developers of information-based asset pricing, a framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. He speaks at seminars and conferences where he presents research findings to academics and industry professionals. He is the co-founder of the Financial Mathematics Team Challenge (FMTC), an annual research student workshop held in Cape Town and Rio de Janeiro. Andrea’s research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. He is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Aside from projects in applied probability and stochastic modelling, a significant part of Andrea’s current research focuses on the transition from interbank offered rates (IBOR) to so-called risk-free rate (RFR) benchmarks.
Personal web site: https://amacrina.wixsite.com/macrina
Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.
Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago. His team is responsible for research, implementation and support of pricing and risk models across multiple asset classes. In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.
Andrei is also adjunct professor at the Illinois Institute of Technology. Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University. Prior to coming to the US, he conducted academic research in applied math in Russia, Japan and Italy and published numerous research papers in the area of fluid stability in major mathematical journals. He holds a BSc in Mathematics from the Novosibirsk State University, Russia and a PhD in Mathematics from the Russian Academy of Science.
- We consider a Hull-White rates model coupled with a Black-Karasinski credit model.
- This hybrid model has an explicit analytic pricing kernel.
- This can be used to price LIBOR options (and swaptions) subject to wrong-way credit risk.
- We show how this framework can be extended to address also options on backward-looking rates.
Quantitative Analyst, Deutsche Bank
Colin Turfus: Quantitative Analyst, Deutsche Bank
Colin Turfus has worked for the last twelve years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids. More recently his interest has been in the application of perturbation methods to risk management, finding efficient analytic methods for computing, e.g., CVA, VaR and model risk. He is currently working in Global Model Validation and Governance at Deutsche Bank. He also taught evening courses on C++ and Financial Engineering at City University for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion.