Inflation Linked Derivatives Workshop

Venue: London

Location: London, United Kingdom

Event Date/Time: Apr 02, 2007
Report as Spam


DAY 1: Introducing Inflation-linked Securities and Derivatives:
Introductory / Intermediate
Inflation and Inflation-Linked Bonds
Investors and the Demand forInflation-Linked Products
Inflation-Linked Securities and Derivatives: Perspectives forTraders and Issuers
Inflation Swaps and Inflation-Link Product
Building the Inflation Curve
Structuring Inflation Linked Products
An Introduction to Pricing and Trading Options on Inflation

David Murphy: rivast Consulting

DAY 2: Latest Developments: Inflation-linked Derivatives
Inflation-Linked Bonds
Term Structure of Real and Nominal Interest Rates
Pricing Inflation-Linked Derivatives
Comparing Inflation Curve Interpolation Schemes (Extended) Jarrow - Yildirim
Supply/Demand in the Euro HICP Swap Market: Nominal/Linkers Asset-Awap Differentials as a Measure of Demand on Swaps
Seasonality and Fixing Risk: a Ticking Time Bomb? Measuring and Managing these Risks
Correlation Trading: the Future of Inflation Relative Value Trading?

Jeroen Kerkhof: Vice President, Fixed Income, Morgan Stanley
Stephane Salas: Head of Inflation Trading, Societe Generale
Yildiray Yildirim: Assistant Professor of Finance, Syracuse University

DAY 3: Latest Developments: Inflation-linked Derivatives
Trading Asset Swaps vs ZC Swaps
Arbitrage Bounds on ASWs
Real vs Nominal Yield Beta
Linking (Real and Nominal) Bond Curves with (Real and Nominal) Swap Curves
From “Linker” Models to “Derivatives” Models
From Static to Dynamic Hedging Strategies
Emerging of Products Indices: Back to the “Initial” Models?
The Combination of Credit Risk and Inflation Risk

Brice Benaben: Managing Director & Head of Inflation Structuring, Citigroup
Dariush Mirfendereski: Managing Director & Head of Inflation Linked Trading, UBS