Hybrid Derivatives Computational Finance Workshop: The Latest Modeling and Practical Implementation

Venue: London

Location: London, United Kingdom

Event Date/Time: Jun 07, 2007 End Date/Time: Jun 08, 2007
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Description

Day 1: Hybrid Derivatives: Modeling and Practical Implementation Techniques
Rama Cont: Columbia University, New York
Hybrid Intro & Latest Modelling & Practical Implementation Strategies

Bullet points to follow

Chris Hunter: Hybrids Trader, BNP Paribas
Pricing of European Options Using Copula

Bullet points to follow

Prof. Dr. Joachim K. Anlauf: Universitaet Bonn
Monte Carlo Simulation with FPGAs for Fast Pricing of Derivatives

Bullet points to follow

Day 2: Hybrid Derivatives: Modeling and Practical Implementation Techniques

Domingo Tavella: Octanti Associates, Inc.
PDE Approach to Hybrids

Building a PDE framework for credit pricing
Capturing sequential defaults
Modeling default clustering with PDEs
Dealing with hybrid dimensions
Norddine Bennani: Head of Credit Derivative Quantitative Research, Dresdner Kleinwort
Dynamic Credit Modelling

Dynamic Modelling for Portfolio Credit Derivatives

Top-down approach versus bottom-up approach
Implementation and calibration to index tranche market
Implied smile dynamics
Extending Dynamic Credit Models for Interest Rate/Credit Hybrids

Modelling framework
Practical implementation and calibration
Application to pricing
Manlio Trovato: Director, Merrill Lynch
Option Pricing with Continuous-Time Lattices

Pricing kernel construction with Markov chains
Operator and spectral methods for matrix exponentiation
Combining Markov chains and Gaussian quadratures
Lattice convergence properties
Pricing European options with continuous-time lattices
Building term structure models with continuous-time lattices
Oliver Brockhaus: Head of Equity Derivatives Financial Engineering, Commerzbank
Equity Hybrids

Copula Methods

Copula Methods for Equity Derivatives
Extension to Equity IR Hybrids
Local Volatility Calibration

Dupire
Forward PDE
Fixed Point Method
Extension to Equity IR Hybrids

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