Highlights / Key Themes
- The Global Derivatives 2009 Taskforce discussed to what extent derivatives are weapons of mass destruction and how models have fared in the current market. This extended keynote discussion attracted many audience questions and was a key debating point for the industry. Derivatives regulation and modelling to market realities were key themes of concern and focus with a wish to see how the debate will evolve for the 2010 event
- The Quantitative Problem Solving Working Groups proved to be a highly successful new feature at the event. They gave the audience the opportunity to work on key modelling and risk management issues in credit, equity & interest rates with top practitioner speakers. The session enabled attendees to go back to their desk with some tangible take-away learning
- The New Quick-Fire Model Showcase featured a couple of new approaches to derivatives modelling from the audience. This dynamic session gave the audience the opportunity to present their work to the most prestigious derivatives audience. Look out for your chance to present your work next year!
- The Volatility & Correlation Summit featured the keynote discussion on volatility trading in today's dynamic market. An appraise of new products and approaches was appreciated by the audience as well as the opportunity to discuss the issues raised during the practical strategy lab format where attendees could discuss the key issues in smaller roundtable groups
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Vladimir Piterbarg
Global Head of Quantitative Analytics Group
BARCLAYS CAPITAL
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Jesper Andreasen
Global Head of Quantitative Research
DANSKE BANK
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Leif Andersen
Global Head GCIB Quantitative Research
BANC OF AMERICA SECURITIES
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Bruno Dupire
Quantitative Research
BLOOMBERG
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Alex Lipton
Global Head of Credit Analytics
MERRILL LYNCH
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John Hull
Maple Financial Professor of Derivatives & Risk Management
UNIVERSITY OF TORONTO
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Riccardo Rebonato
Global Hd of Market Risk & Quant Analysis, GBM
ROYAL BANK OF SCOTLAND
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Peter Carr
Head of Quantitative Financial Research
BLOOMBERG
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Michael Hintze
CEO & Senior Investment Officer
CQS (UK) LLP
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Mark Broadie
Carson Family Professor of Business
COLUMBIA GRADUATE SCHOOL OF BUSINESS
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Vladimir Finklestein
Chief Science Officer
HORTON POINT LLC
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Martin Baxter
Quantitative Analyst
NOMURA
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Dariush Mirfendereski
MD, Head of Inflation Linked Trading
UBS
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Marco Avellaneda
Professor of Mathematics & Finance
NEW YORK UNIVERSITY
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David Li
Chief Risk Officer
CICC
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WEBINAR
Global Derivatives Webinar
March 09
Pricing Variance Swaps Under Jumps Led by Peter Carr, Bloomberg 18 March 2009
"I enjoyed immensely participating in the ICBI Global Derivatives and Risk Management Conference. The presentations were varied in theme and high in quality, and the attendees were among the best known people in their respective fields."
Head of OTC & Macro Volatility Strategies
Capital Fund Management
"A first rate derivatives event with first rate minds - the best gathering in quantitative finance."
"I enjoyed immensely participating in the ICBI Global Derivatives and Risk Management Conference. The presentations were varied in theme and high in quality, and the attendees were among the best known people in their respective fields."
Head of OTC & Macro Volatility Strategies
Capital Fund Management
