Latest Developments: Interest Rate Hybrid Products Workshop

Venue: Singapore

Location: Singapore, Singapore

Event Date/Time: Jun 21, 2007 End Date/Time: Jun 22, 2007
Report as Spam


Day 1: Interest Rate Hybrids
Chak Wong: Executive Director, UBS
Hybrids: Commodities, Equities, Credit and Interest Rate Derivatives

The Challenges in Product and Model Development
Models and Issues
Forward Volatilities
Skew and Smile Modeling for Interest Rates
Modeling the Equity, FX & Credit
Oliver Chen: Assistant Professor, Department of Mathematics, National University of Singapore
Wavelet Pricing of IR Hybrids in a BGM framework

Bullet points to follow
Chris Hunter: Hybrids Trader, BNP Paribas
Correlation Smile and Hybrid Pricing

Term structure of correlation
Modeling correlation tails
Implied Correlation
Local Correlation
Evolution of the Correlation Smile
Day 2: Interest Rate / FX Hybrids
Claudio Albanese: Bloomberg LP, New York & Imperial College London
Operator Methods for Long Dated Interest Rate Hybrids

Stochastic skew models or FX derivatives
Stochastic monetary policy interest rate models
Abelian path dependents: block diagonalization methods
Abelian path dependents: moment methods
Rho risk for FX options
Variance knockout FX options
Quanto cliquets
FX linked range accruals
Modeling correlations by dynamic conditioning