Peter Jaeckel and Riccardo Rebonato: LIBOR Market Model Master Class

Venue: Venice

Location: Venice, Italy

Event Date/Time: Apr 12, 2007 End Date/Time: Apr 13, 2007
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Description

Day 1: The Practicalities of LIBOR Market Models
Peter Jaeckel: Global Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro

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
Day 2: The Latest Advancements of the LIBOR Market Model
Riccardo Rebonato: Global Head of Market Risk and Quantitative Research, Royal Bank of Scotland

What do we need to price interest-rate derivatives?
Why can the LMM provide the tool we need for this?
The no-arbitrage drifts: a universal recipe for all products
Volatility and correlation for the LMM (single currency and multi-currency)
Calibrating to caplets and linking caplet and swaption volatilities
Empirical evidence: implied volatility, swaption volatility, Principal Components of volatility changes
The ingredients for the IR smile: displaced diffusion versus CEV - theoretical and practical issues
Further smile features: stochastic volatility and regime shift
Questions from the delegates

Venue

Venice
Venice
Italy
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