The MathFinance Newsletter, Edition 133, February 10 2006.
Previous editions and this edition in html format can be found on
http://www.mathfinancenews.com/.
In this issue:
- MathFinance Job Exchange
- MathFinance Events
- Numerical Methods for Pricing Financial Derivatives, February 23-25, Amsterdam
- FORC - Implementing Derivative Valuation Models Conference, 24 Feb 2006, University of Warwick
- Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London
- The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London
- International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
- Frankfurt MathFinance Workshop 27-28 March 2006
- Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London
- Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London
- Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London
- WBS Training USA Fixed Income Derivatives Week: Inflation Linked Derivatives, Interest Rate/Hybrid Derivatives, Credit Derivatives, CDOs & CDO^2 Workshop Week, 15 - 19 May 2006, New York
- The Latest Developments: Interest Rate Modelling, 12 - 13 June 2006, Venice
- Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
- MathFinance Resources
- place a student
- recommend your book or educational institute
- find a quant
- invite to a workshop
- contribute to our website
- pose questions about mathematical finance
- introduce your research to a wider audience
The MathFinance Newsletter: Established November
1999
Editor: Uwe Wystup, MathFinance
Assistant Editors: Susanne Griebsch, HfB, Frankfurt
Database Solutions: Dr. Thorsten Schmidt, Leipzig University
In detail:
- MathFinance Job Exchange
-
Mathematiker, Physiker oder Wirtschaftsinformatiker: d-fine GmbH, Frankfurt
Sie haben in der Wissenschaft viel bewegt? Dann können Sie auch in der Wirtschaft viel bewegen! Davon sind wir bei d-fine fest überzeugt.
d-fine ist mit über einhundert Beratern eines der größten auf die Finanzwelt spezialisierten Beratungsunternehmen in Europa. Wir fokussieren höchste naturwissenschaftlich- technische Kompetenz auf die anspruchsvollen Herausforderungen unserer Kunden.
Wir beraten Banken, Versicherungen und Industrieunternehmen beim Aufbau ihrer Handels- und Risikomanagementsysteme von der ersten Idee bis zur professionellen Implementierung der Lösung, vom finanzmathematischen Modell bis zur real-time Schnittstelle, vom einfachen Kredit bis zum exotischen Derivat, vom Ratingsystem bis zur Portfoliosteuerung, von IAS 39 bis Basel II.
Unsere Kunden schätzen unseren kompromisslos hohen Qualitätsanspruch und vor allem, dass wir diesen Anspruch auch realisieren. Das beginnt schon bei der Auswahl unserer Mitarbeiter: Wir suchen Sie als Naturwisssenschaftler, Mathematiker oder Informatiker. Sie besitzen einen exzellenten Hochschulabschluss, sprechen fließend Englisch und haben überdurchschnittliche IT- sowie Programmierkenntnisse. Idealerweise sind Sie darüber hinaus mit Statistik, Numerik und Finanzmathematik vertraut und beherrschen Simulationsmethoden wie beispielsweise Monte Carlo.
Unbedingt erwarten wir von Ihnen analytisches Denken, ergebnisorientiertes Vorgehen und exzellente Kommunikationsfähigkeiten. Sie sind teamfähig, erfassen auch sehr komplexe Aufgaben schnell und können sich rasch in neue IT-Umgebungen einarbeiten. Sie haben Beratungstalent, hohe Einsatzfreude und sind flexibel und belastbar.
Selbstverständlich geben wir Ihnen eine intensive Einführung in Ihr zukünftiges Aufgabenfeld sowie ein anspruchsvolles finanzmathematisches Training auf höchstem Niveau in Zusammenarbeit mit führenden internationalen Universitäten.
Wenn Sie in einem Team hoch begabter und hoch motivierter Kollegen mitarbeiten wollen, große individuelle Freiräume, viel Eigenverantwortung sowie hervorragende Entwicklungsperspektiven suchen, freut sich Frau Peggy Schäl auf Ihre Bewerbung.
Willkommen im d-fine Team!
Starten Sie durch!
d-fine GmbH
Opernplatz 2
60313 Frankfurt am Main
Telefon: +49-69-90737-0
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Homepage:http://www.d-fine.de
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- MathFinance Events
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Numerical Methods for Pricing Financial Derivatives, February 23-25, Amsterdam
Within the two day hands-on training course, participants learn how to apply and implement numerical methods to price financial derivatives. The rich functionality available within Mathematica allows to discuss different implementation approaches during the course and to analyze numerical issues arising from the presented methods. This makes the course also attractive for someone who is only interested in the implementation of numerical methods. Each topic is accompanied with practical sessions.
Topics
- Monte Carlo simulations of one and multidimensional processes and the pricing of simple, spread and basket options
- Applying and comparing variance reduction techniques for the Monte Carlo simulations
- Monte Carlo simulations of jump processes and the pricing of credit risk
- Using Monte Carlo simulations for interest rate processes
- Implementing and analyzing different tree valuation routines for the pricing of American type options
- Pricing path dependent options with trees
- Implementing and analyzing the Hull-White and other tree valuation method for interest rate processes
- Implementing and analyzing explicit and implicit finite difference methods
- Integration of Mathematica based numerical pricing routines with MS Excel
You will learn how to
- implement different numerical pricing methods,
- improve the speed and accuracy of the numerical methods
- approach, setup and numerical solve complex pricing problems
Skills
Basic knowledge of Mathematica is necessary, basic knowledge of finance is helpful. Please contact CANdiensten for information on introduction courses.
More information and registration
The training will be held on February 23-25 in Amsterdam, for more information please visit:
http://www.can.nl/english/cursussen/cursussendetail.asp?id=25 -
FORC - Implementing Derivative Valuation Models Conference, 24 Feb 2006, University of Warwick
The Financial Options Research Centre is pleased to announce:
'Implementing Derivative Valuation Models Conference' which is being held at the University of Warwick, Coventry on Friday 24 February 2006.
The focus of the conference is on issues involved in the implementation of derivatives models in an institutional setting. Many banks and other organisations have large code libraries for valuating and hedging derivative securities under various modelling assumption. Computational efficiency, library management, and code maintenance become very significant but competing objectives.
The conference will examine these issues and other, both at a general level, and in the context of specific valuation models.
The invited speakers are:
- Andrew Ferraris, Deutsche Bank
- Dmitry Kramkov, Carnegie Mellon
- Allan Lane, BGI
- Claudio Moni, Bank of America
- David Shorthouse, Credit Suisse
- Arun Verma, Bloomberg
- Nick Webber, Warwick
Themes include computational efficiency, library architecture, the use of web services, and implementation issues for specific derivative valuation models.
You can keep up to date with the activities by visiting
http://www.warwick.ac.uk/go/forc. -
Vinod Kothari Workshop: Securitisation Structuring & Modelling, 27 - 28 Feb 2006, Central London
Highlights of Workshop:
This is NOT a basic course. The participants must have basic understanding of securitisation structures. A 100% practical course that looks at the financial structure and cash flow models of securitisation transactions Builds models from issuers, servicers and investors viewpoint Participants would be expected to build models for real-life transactions Participants must have good knowledge of Excel. Knowledge of VBA is NOT required for this course. To derive the most out of this course, participants must bring their own laptops/portable computing devices. This course does NOT deal with securitisation law, accounting or taxation, except as may be required for understanding transaction structures.
Workshop Programme Day 1:
Session 1
- Overview of securitisation: securitisation and corporate finance
- Key principles of securitisation:
- Isolation of assets
- Self-liquidating transaction nature
- Leverage features
- Securitisation and cost of funding
- Key motivations in securitisation
- Limitations of securitisation
- Securitisation and investor experience so far
Session 2
- Introduction to transaction structure
- Pass through and pay-through bonds
- Structural credit enhancements
- Profit extraction devices
- Waterfall and its impact on the transaction structure
Session 3
- The cash flow model of a simple pass through transaction
- Impact of the pass through nature on the payback pattern for investors
- Impact of defaults, delays and prepayments
- Introducing cash reinvestments and other asset-liability mismatches; impact thereof on the transaction economics
- The disparity in seller and investor concerns: value of residual interest, weighted average cost of the transaction and the duration and investor returns
- Time tranching of liabilities and impact thereof
- Impact of different forms of credit enhancement and selecting the ideal mix
Session 4
- Prepayment rates and default rates as a function of time and seasoning
- Determination of prepayment and default rates from historical data
- Stress-testing of the key variables - determining the stress levels
- Rating agencies - approach to rating - reduction of the tail risk
Session 5
- Testing the risk of wholesale portfolios
- Binomial distributions and Poisson distributions
- Applying binomial and Monte Carlo approaches to probability of default
- Modeling of a CDO portfolio
Session 6
- Modeling of a real life RMBS transaction
- Modeling of a revolving transaction structure:
- Credit cards
- Consumer finance transactions
Workshop Programme Day 2:
Session 7
- Forms of credit enhancement and their impact
- Excess spread versus over-collateralisation
- Excess spread as soft credit enhancement do rating agencies give due credit to excess spread?
- Cash reserve its impact
- Cash reserve versus overcollateralisation
- Minimisation of the weighted average cost of funding
Session 8
- Introduction to synthetic transactions
- Concept of credit derivatives use of credit derivatives to create synthetic assets
- llustration of applying the synthetic technology
Session 9
- Applying the synthetics technology to securitisation
- splitting of risks from the funding of the assets
- Illustration of a synthetic balance sheet CDO
- Modeling of a synthetic balance sheet CDO
Session 10
- Synthetic arbitrage transactions
- Case study of a synthetic arbitrage CDO
- Modeling of a synthetic arbitrage CDO
Session 11
- Investor analytics
- Relevance of the duration and weighted average maturity
- Impact of prepayment rate on investor returns
- Understanding the implicit callability feature and computation of the option-adjusted spread
Participants will be expected to build models of several real life transactions.
Contact: Neil Fowler
T: +44(0) 1273 674400 F: +44(0) 1273 672333
Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ssm.php
Website: http://www.wbstraining.com
Email:![[spam save email]](http://mathfinance.de/email.png.php?addr=neil_xx_wbstraining__com)
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The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 20 - 22 Mar 2006, Central London
Day 1: Interest Rate Modelling: From Basic - Hybrids Workshop
Presenters:
Dorje C. Brody: Royal Society University Research Fellow, Imperial College London
Lane P Hughston: Professor of Financial Mathematics, King's College London
Topics Covered:
- Interest-rate modelling: the basics
- Applications: short rate models, positive-interest models, chaotic models
- Interest rate and foreign exchange hybrids
- Conditional variance models for foreign-exchange volatility
- Interest rate and inflation hybrids
- Payout structures for inflation-linked hybrid products
- Interest rate and credit hybrids
- Market-information models for credit-linked structures
Day 2: Latest Developments: Interest Rate Modelling Techniques
Presenters:
Claudio Albanese: Chair of Mathematical Finance, Imperial College London
Dariusz Gatarek: Glencore International
Fabio Mercurio: Head of Financial Models, Banca IMI
Raoul Pietersz: Senior Derivatives Researcher, ABN Amro
Topics Covered:
- Stochastic volatility term structure models for callable swaps
- Modeling challenges with callable swaps
- The Swaption Smile and CMS Convexity Adjustments
- Introducing the displaced diffusion LIBOR model with uncertain shifts
- Approximations of Libor market model
- Linear and Nonlinear Pricing of Swaptions
- Generic and CMS Market Models and Measures
- Extending LIBOR and swap market models
Day 3: Latest Developments: Interest Rate Hybrid Products
Presenters:
Alain Chebanier: Head, FX and Commodities Derivatives Research, Deutsche Bank
Messaoud Chibane: Senior Quantitative Analyst, Bank of America
Chris Hunter: Managing Director, BNP Paribas
Jakob Sidenius: Senior Quantitative Analyst, Royal Bank of Scotland
Topics Covered:
- On the Term Structure of Portfolio Loss Distributions
- FX Hybrids Modelling
- Modelling the long-dated FX smile
- Skew dynamics on FX and interest rates
- Impact of skew dynamics on exotics
- Correlation Smile and Hybrid Pricing
- Evolution of the Correlation Smile
Fees: Workshops: £999:00
Register to ANY ONE day TWO days or all THREE days of the workshop
Register to ANY TWO days of the workshop and receive £200 discount
Register to ALL THREE workshop days and receive £300 discount
Contact: Neil Fowler
T: +44(0) 1273 674400 F: +44(0) 1273 672333
Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/irdh.php
Website: http://www.wbstraining.com
Email:
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International Conference on Financial Engineering, March 22-24, 2006, University of Florida, Gainesville
Date: March 22-24, 2006
Location: Hilton Hotel - Conference Center, University of Florida, Gainesville, FL
Organizers: Prof. Farid AitSahlia and Prof. Stan Uryasev, Risk Management and Financial Engineering Lab, University of Florida.
The conference will provide a forum for state-of-the-art results and the latest advances in financial engineering, including market, credit, and operational risk; algorithms and techniques for portfolio optimization, pricing and hedging of various financial instruments, derivatives on traded as well as non-traded securities, trading algorithms, and others. Conference website: http://www.ise.ufl.edu/rmfe/events/qf2006/index.htm.
The conference will be preceded by the International Workshop: “Tutorials on Financial Engineering” on March 20-21, 2006.
The workshop will consist of tutorials on selected topics of risk management and financial engineering given by prominent researchers:- Prof. R Tyrrell Rockafellar (University of Washington, USA),
- Prof. John Birge (University of Chicago, USA),
- Dr. Craig Friedman (Standard and Poor's, USA),
- Prof. Jay R. Ritter (University of Florida, USA) ,
- Prof. Stan Uryasev (University of Florida, USA),
- Dr. Ursula Theiler (Risk Training, Germany),
- Prof. Valery Kholodnyi (Middle Tennessee State University, USA),
- Dr. Alex Kreinin (Algorithmics Inc., Canada).
Workshop website: http://www.ise.ufl.edu/rmfe/events/ws2006/index.htm. -
Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 27 - 29 Mar 2006, Central London
Day 1: Credit Derivatives: From Basic - Hybrids Workshop
Presenter: Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) Zurich
Topics Covered:
- Single-Name Credit Risk Models
- Term structures of hazard rates and credit spreads, implied survival probabilities
- Structural models, Merton, Black-Cox, Credit-Equity hybrids and latest developments in structural models.
- Portfolio Credit Risk Models
- Basic model-free Single-Tranche CDO pricing relationships
- Copula models, Gauss copula, the market standard model, implied correlation.
- Numerical techniques for factor models: Convolution, Fast Fourier Transforms
- Numerical techniques for simulation models: Importance sampling, sensitivities with Likelihood-ratio methods
Day 2: Latest Developments: Credit Derivatives Modelling Techniques
Presenters:
Jon Gregory: Global Credit Derivatives: Barclays Capital
Dominic O’Kane: Head of Fixed Income Quantitative Research, Lehman Brothers
David Shelton: Director, Global Credit Derivatives Research, Citigroup
Topics Covered:
- Complete overview of Modelling Correlation Skews
- The Gaussian Copula Model and Beyond
- Correlation Market Dynamics and Skew Models
- A Correlation Skew Model with Sensible Dynamics
- Comparing Base Correlation with Market Dynamics
- Latest developments in CDOs
- Bespoke CDO Pricing- Determining the Correlation Skew from Portfolio Composition
Day 3: Latest Developments: Credit CPPI & Credit Hybrid Products
Presenters:
Rishad Ahluwalia Structured Products Research, JPMorgan Securities
Claudio Albanese: Chair of Mathematical Finance, Imperial College London
Didier Campant: Credit Structurer, Associate Director, BNP Paribas
Philipp Schönbucher, Assistant Professor, Risk Management, (ETH) ZURICH
Topics Covered:
- Market overview of Credit CPPI
- Portfolio Insurance Strategies and CDOs
- An introduction to Credit SPI/CPPI
- The Loss-Market-Model: Pricing Portfolio-Credit - Interest-Rate Hybrids and exotic Portfolio Credit Derivatives
- Applications of the Model: Forward-starting CDOs, Options on Indices, Options on Tranches, Hybrid Products with Credit Correlation Components.
- Dynamic Credit Correlation Models and Hybrids
- Intrinsic Credit-Equity Hybrids: EDSs and Convertible Bonds
- Extrinsic Hybrids: Mezzanine Swaps and Credit Linked Options
Contact: Neil Fowler
T: 44(0) 1273 674400 F: 44(0) 1273 672333
Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ldcd.php
Website: http://www.wbstraining.com
Email:
Fees: Workshops: £999:00
Register to ANY ONE day TWO days or all THREE days of the workshop
Register to ANY TWO days of the workshop and receive £200 discount
Register to ALL THREE workshop days and receive £300 discount -
Frankfurt MathFinance Workshop 27-28 March 2006
This year with Oliver Brockhaus, Peter Carr, Stephen Taylor, Robert Tompkins, Jan Vecer and many others.
Registration is now open.
More information is available at
http://workshop.mathfinance.de -
Latest Developments: Equity Derivatives / Stochastic Volatility / Option Variance & Equity Hybrids, 5 - 7 April 2006, Central London
Day 1: Equity Derivatives: From Basic - Hybrids Workshop
Presenter: Oliver Brockhaus: Head of Equity Financial Engineering, Commerzbank Corporates & Markets
Topics Covered:
- From market to model: Basics
- Complete smile models
- Stochastic volatility
- Monte Carlo
- Correlation
- Hybrids
Day 2: Latest Developments: Equity Derivatives Modelling Techniques
Presenters:
Frédéric Abergel: Head of Equity Derivatives Quant Analytics: Ixis-cib
Sebastien Bossu, VP, Global Equity Derivatives, Dresdner Kleinwort Wasserstein
Daniel Bloch: Manager, Barclays Capital
Nicolas Mougeot: Senior Derivatives Analyst, BNP Paribas
Topics Covered:
- Understanding option trading and variance swaps
- Options on quadratic payoffs within Affine and Quadratic models
- A proper dynamic for the variance swap within the class of Affine and Quadratic models
- 3rd generation volatility products: variance swaps and beyond
- The emergence of variance swaps and their valuation
- Comparison of calibration and hedge performances for various stochastic volatility models
- Requirements for a “good” stochastic volatility modelling
- LSV model: theoretical and practical issues
Day 3: Latest Developments: Equity Hybrid Products
Presenters:
Claudio Albanese: Chair of Mathematical Finance, Imperial College London
Damiano Brigo: Head of Credit Models: Banca IMI
Tariq Dennison: Vice President, Bear Sterns
Representative: AXA-IM
Topics Covered:
- Equity Derivatives and Hybrids
- Almost stationary calibration and forward start skews
- Latest Developments CPPI
- Credit Default Swap Calibration and Equity Swap Valuation with a time varying Black-Cox type Structural Model
- Complete overview of Interest Rate / Equity Hybrids
Fees: Workshops: £999:00
Register to ANY ONE day TWO days or all THREE days of the workshop
Register to ANY TWO days of the workshop and receive £200 discount
Register to ALL THREE workshop days and receive £300 discount
Contact: Neil Fowler
T: 44(0) 1273 674400 F: 44(0) 1273 672333
Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/lde.php
Website: http://www.wbstraining.com
Email:
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Inflation Linked Derivatives Workshop, 10 - 12 April 2006, Central London
Day 1: Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
Presenters: Dr David Murphy & Dr Andrew Street: Value Consultants Limited
Topics Covered:
- Inflation and Inflation-Linked Bonds
- Investors and the Demand for Inflation-Linked Products
- Inflation-Linked Securities and Derivatives: Perspectives for Traders and Issuers
- Inflation Swaps and Inflation-Link Product
- Structuring Building the Inflation Curve
- Pricing and Trading Options on Inflation
Day 2: Latest Developments: Inflation-linked Derivatives
Presenters:
Jeroen Kerkhof: Quantitative Fixed Income Research, Lehman Brothers
Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
Stephane Salas: Head of Inflation Trading, Societe Generale
Topics Covered:
- Inflation Derivatives Explained
- Valuation and risk of structured inflation products
- Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
- The Road Ahead: what to watch out for in this fast developing market
- The European Inflation Swaps market: From Exotic to Vanilla in just two years
- Correlation trading: The future of inflation relative value trading?
Day 3: Latest Developments: Inflation-linked Derivatives
Presenters:
Mark Capleton: Head of Inflation Linked Research, The Royal Bank of Scotland
Lane P Hughston: Professor of Financial Mathematics, King's College London
Alan James: Head of Inflation Linked Research, Barclays Capital
Topics Covered:
- Models for real interest rates and inflation: New Directions
- General theory of inflation dynamics
- "Hidden variables" models for inflation
- Real Yield Determinants - How Did We Get Here?
- Modelling the behaviour of real yield spreads between markets
- The real yield beta term structure - puzzles and illusions
- Broadening the usage of Inflation Products
- Using Inflation linked forwards
Fees: Workshops: £999:00
Register to ANY ONE day TWO days or all THREE days of the workshop
Register to ANY TWO days of the workshop and receive £200 discount
Register to ALL THREE workshop days and receive £300 discount
Contact: Neil Fowler
T: 44(0) 1273 674400 F: 44(0) 1273 672333
Weblink: http://www.wbstraining.com/index.php?m=WORKSHOPS&p=courses/ild.php
Website: http://www.wbstraining.com
Email:
-
WBS Training USA Fixed Income Derivatives Week: Inflation Linked Derivatives, Interest Rate/Hybrid Derivatives, Credit Derivatives, CDOs & CDO^2 Workshop Week, 15 - 19 May 2006, New York
Day 1:
Introducing Inflation-linked Securities and Derivatives: Introductory / Intermediate
Presenters: David Murphy & Andrew Street
Topics Covered:
- Understanding Inflation
- Inflation-Linked Securities: The Standard Bond Structure
- Investors and the Demand for Inflation-Linked Products
- Inflation-Linked Securities: Perspectives for Traders and Issuers
- Building the Inflation Curve
- Structuring Effective Inflation-Linked Products
- Pricing and Trading Derivatives on Inflation
Day 2:
Latest Developments of Inflation-linked Derivatives
Presenters:
Gang Hu: Associate Director of U.S. Inflation Trading, Barclays Capital
Lane P Hughston: Professor of Financial Mathematics, King's College
Dariush Mirfendereski: Head of Inflation Linked Trading, UBS
Topics Covered:
- Models for real interest rates and inflation: New Directions
- General theory of inflation dynamics
- "Hidden variables" models for inflation
- Practical Perspectives on Pricing, Trading, and Hedging Inflation-Indexed Derivatives - from the Dark Ages to the Present
- The Road Ahead: what to watch out for in this fast developing market
- A Users' Manual on Inflation Derivative Products
- iStrips
- Structured Products on the market
- Potential structures that might be of interest to the market, and general view on the outlook of the inflation derivative market.
Day 3:
Latest Developments: Interest Rate Derivatives / Interest Rate Hybrid Products
Presenters:
Tariq Dennison: Vice President, Bear Sterns
Lane P Hughston: Professor of Financial Mathematics, King's College
Chris Hunter: Managing Director: BNP Paribas
John Uglum: Executive Director: Morgan Stanley
Topics Covered:
- Overview of the General Theory of Interest Rate / Hybrid Models
- Pricing and Hedging of Callable Exotic Swaps
- The LIBOR market model and stochastic volatility extension
- Solving the stochastic control problem using Monte Carlo
- Practical implementation issues and variance reduction techniques
- Complete overview of Interest Rate / Equity Hybrids
- Correlation Smile and Hybrid Pricing
Day 4:
The Latest Developments: Credit Derivatives Presenters:
Jon Gregory: Global Credit Derivatives: Barclays Capital
Paul Glasserman: Professor of Risk Management, Columbia Graduate School of Business
Marco Naldi: Lehman Brothers
Topics Covered:
- The Correlation Skew and Correlation Modelling
- The Gaussian Copula Model and Beyond
- The Correlation Skew and Base Correlations
- Monte Carlo for Credit Risk and Credit Derivatives
- Fast pricing of basket default swaps
- Accelerating Monte Carlo by increasing default rates
- Pricing Exotic Tranches / Relative value trading of liquid tranches
Day 5:
The Latest Developments: CDOs & CDO^2
Presenters:
Terry Benzschawel: Director of Qualitative Credit Modeling and Analytics, Citigroup
David Li: Head of Quantitative Analytics Credit Derivatives, Barclays Capital
Michael liang: Quantitative Analytics Credit Derivatives, Barclays Capital
Maximo Silberberg: Vice President, Structured Credit, JP Morgan
Topics Covered:
- Overview of CDOs
- CDOs: Credit Selection, Trade Construction, and Portfolio Optimization
- CDO Equity as an Asset Class
- CDOs in Portfolios of Traditional and Alternative Assets
- Customizing CDO Tranche Trades
- Credit Portfolio Correlation Skew Modelling
- Alternative Bespoke CDO pricings
- Market overview for synthetic CDO^2
- CDO2 pricing: Price a CDO2 consistently with the pricing of the underlying CDOs
- Construction of synthetic CDO^2
- Further extensions of CDO^2 technology
Fees: $1399:00 each day
Discount Structure
2 days $200 Discount
3 days $300 Discount
4 days $400 Discount
5 days $600 Discount
Contact:
Neil Fowler
T: +44(0) 1273 674400 F: +44(0) 1273 672333
Weblink: http://www.wbstraining.com/?m=WS&p=courses/5daynymay2006.php
Website: http://www.wbstraining.com
Email:
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The Latest Developments: Interest Rate Modelling, 12 - 13 June 2006, Venice
Fabio Mercurio & Riccardo Rebonato
The Latest Developments: Interest Rate Modelling
Monday / Tuesday 12th / 13th June 2006
The Gritti Palace Hotel, Venice, Italy
Course fee: £2399 (VAT Included)
Course Trainers:
Fabio Mercurio is the Head of Financial Models at Banca IMI. Fabio holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Tinbergen Institute of Rotterdam. Prior to joining Banca IMI in 1998, he was a Financial Modeller in the Risk Management Department of Cariplo Bank in Milan.
His recent scientific interest mainly concerns the interest rate modelling for pricing and hedging derivatives, the pricing of hybrid products and the smile effect in implied volatility structures for the equity, FX and interest rate markets.
Fabio has published several articles in journals such as Mathematical Finance, Applied Mathematical Finance, European Journal of Finance, Finance and Stochastics, International Journal of Theoretical & Applied Finance and Risk. Together with Damiano Brigo, he has published a book on "Interest Rate Models: Theory and Practice" in 2001, 2nd edition (June 2006)
Riccardo Rebonato is Head of Group Market Risk for the Royal Bank of Scotland Group, and Head of The Royal Bank of Scotland Group Quantitative Research Centre. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and MSc. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He sits on the Board of Directors of ISDA and on the Board of Trustees of GARP.
Prior to joining the Royal Bank of Scotland, he was Head of Complex Derivatives Trading Europe and Head of Derivatives Research at Barclays Capital (BZW), where he worked for nine years.
Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is the author of three books, Modern Pricing of Interest-Rate Derivatives, Volatility and Correlation in Option Pricing and Interest-Rate Option Models. He has published several papers on finance in academic journals, and is on the editorial board of several journals. He is a regular speaker at conferences worldwide.
Day 1:
Riccardo Rebonato: The Latest Advancements of the LIBOR Market Model
Section 1 - 9:00 - 10:30
What do we need to price interest-rate derivatives?
Why can the LMM provide the tool we need for this?
Morning Break: 10:30 - 11:00
Section 2 - 11:00 - 12:45
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
Lunch: 12:45 - 14:00
Section 3 - 14:00 - 15: 30
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
Afternoon Break: 15:30 - 16:00
Section 4: 16:00 - 17:30
Further smile features: stochastic volatility and regime shift
Questions from the delegates
Day 2:
Fabio Mercurio: New Advances in Market Models for Interest Rates
Section 1: 09:00 - 10:30
Pricing the smile: a LIBOR model with uncertain parameters
Derivation of analytical formulas for caps and swaptions
Morning Break: 10:30 - 11:00
Section 2: 11:00 - 12:30
Model's implications: forward volatilities and implied swaptions smile
Examples of calibration
Lunch: 12:30 - 13:30
Section 3: 13:30 - 15:30
A specific case allowing for an exact calibration to ATM volatilities
Examples of calibration
Afternoon Break: 15:30 - 16:00
Section 4: 16:00 - 17:30
The swaption smile quoted by market
Calibration with the SABR functional form
Introducing the CMS convexity adjustments
A joint calibration to swaptions and CMS swap spreads
All delegates will receive complimentary copies of the 2nd Editions:
- Volatility and Correlation
The Perfect Hedger and the Fox
Riccardo Rebonato
- Interest Rate Models: Theory and Practice
by Damiano Brigo and Fabio Mercurio
Contact:
Neil Fowler
T: +44(0) 1273 674400
F: +44(0) 1273 672333
Weblink: http://www.wbstraining.com/pdf/irm_venice_06-06.pdf
Website: http://www.wbstraining.com
Email:
- Volatility and Correlation
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Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo
Notice: Submission Deadline Extended to 30th January from 16th January
Due to internet server maintenance at Hitotsubashi University, BFS2006 website and e-mail server will be out of service from January 13th, 10pm to January 16th, 10am. Considering the possibility of any confusion possibly caused by the Internet server maintenance, BFS2006 4th World Congress Organizer will extend the deadline for the application submission from January 16 to January 30, 2006.
General Information of Bachelier Finance Society 2006 4th World Congress
Date: August 17(Thursday) - August 20(Sunday), 2006
Venue: National Center of Sciences (Hitotsubashi University, ICS)
[Address] 2-1-2 Hitotsubashi, Chiyoda-ku, Tokyo 101-8439, Japan
Plenary Speakers:- Peter Carr
- Freddy Delbaen
- Paul Glasserman
- Monique Jeanblanc
- Arturo Kohatsu-Higa
- José A. Scheinkman
- H. Mete Soner
- Thaleia Zariphopoulou
Special Speaker: Shinzo Watanabe
Scientific/Organizing Committee:
- René Carmona
- Hélyette Geman
- Shigeo Kusuoka
- Marek Rutkowski
- Steven E. Shreve
- Nizar Touzi
Local Organizing Committee:
- Takeaki Kariya
- Yoshio Miyahara
- Katsushige Sawaki
- Takahiko Fujita
- Jiro Akahori
Conference Organizer: Ryozo Miura (Hitotsubashi University, ICS)
Deadline for Submission of Contributed Papers: January 16th, 2006
Submission of Contributed Papers
We invite both academics and practitioners to submit your contributed paper on all topics of mathematical finance for the Bachelier Finance Society 2006 Fourth World Congress (BFS2006 4th World Congress). Authors who wish to present a paper at the BFS2006 4th World Congress are requested to submit their application with the extended abstract to the conference organizer by January 30, 2006.
For further information with regard to the submission procedure please refer to:
http://bachelier.ics.hit-u.ac.jp/submission.html
For Further Information
Please contact BFS2006 4th World Congress Administration at![[spam save email]](http://mathfinance.de/email.png.php?addr=bfs2006_xx_ics__hit-u__ac__jp)
BFS2006 4th World Congress Website: http://bachelier.ics.hit-u.ac.jp/index.html
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