Interest Rate Derivatives Week. Latest Developments: Interest Rate Modelling & Hybrids Products. Lon

Venue: London

Location: London, United Kingdom

Event Date/Time: Mar 19, 2007
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Day 1: The Practicalities of Libor Market Models

Derivation of the Indirectly Stochastic Drift
Futures Convexity Corrections in the Libor Market Model
Standard and Skewed Libor Market Model Dynamics
Parametrisation of Correlation and Volatility Backbone
Analytical Calibration to Coterminal Swaptions
Non-Parametric Volatility Specification
Cross-Currency Libor Market Modeling
Calibration of FX Volatilities in a Cross-Currency Libor Market Model

Peter Jaeckel: Global Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro

Day 2: Interest Rate Hybrids: FX / Commodities
FX Hybrids Modelling
Modelling the Long-Dated FX Smile
Stochastic Skew Models for FX Derivatives and Applications
Implementation of 3 Factor Lattice Models
Impact of Jumps on Correlation Modelling
Multi-Asset Jump Diffusion
Commodity Hybrids Trading
Correlation Trading in Commodities: The Burgeoning Interbank Market

Claudio Albanese: Bloomberg LP, New York & Imperial College London
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
James Groves: Barclays Capital, Head of Commodities Hybrids Trading
Chris Hunter: Hybrids Trader, BNP Paribas

Day 3: Interest Rate Modelling
Modeling the Volatility Surface
Conventional Models
Model Misspecification and Hedging Robustness
Determine Closed-Form Expressions for the Total Replication Error
Monte-Carlo Pricing of Bermudan Options
Correction of Super-Optimal and Sub-Optimal Exercise

Philippe Balland: Managing Director in the Fixed Income Division, Merrill Lynch
Christian Fries: Head of Model Development, Rates and Hybrids, DZ Bank
Stefano Galluccio: Co-head of Exotic and Hybrid Derivatives Trading, BNP Paribas
Pat Hagan: Brevan Howard

Day 4: New Advances in Market Models for Interest Rates
Pricing the Smile: a LIBOR Model with Uncertain Parameters
Derivation of Analytical Formulas for Caps and Swaptions
Model's Implications: Forward Volatilities and Implied Swaptions Smile
A Specific Case allowing for an Exact Calibration to ATM Volatilities
Introducing the CMS Convexity Adjustments
A Joint Calibration to Swaptions and CMS Swap Spreads

Fabio Mercurio: Head of Financial Models, Banca IMI
Massimo Morini: Financial Consultant

Day 5: Interest Rate Hybrids: Credit / Equity / Inflation
Model Misspecification
Pricing and Hedging Hybrid Derivatives
New Classes of Models for Equity / Interest Rates / Credit Hybrids
Local Lévy Models to Capture Forward Skews
Equity Hybrids: Market Models, Hedging and Correlation
Market Model for Conditional CMS : Calibration and Correlation Issues
Pricing Inflation / Interest Rate Hybrids
Valuing inflation - IR spread products

Frédéric Abergel: Head of Equity Derivatives Quant Analytics, IXIS CIB
Helyette Geman: Prof. of Mathematical Finance Birkbeck, University of London and ESSEC Business School
Jeroen Kerkhof: Vice President, Morgan Stanley
Youssef Randjiou: Head of Hybrid Derivatives Research, Citigroup