Highlights / Key Themes

Renowned Nobel Laureate Professor Robert Engle Gave The Guest Academic Address focussing on Global Financial Stability & Long Term Risk

Professor Engle was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH).   He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. Professor Engle shared the prize with Clive W. J. Granger of the University of California at San Diego.  Professor Engle is an expert in time series analysis with a long-standing interest in the analysis of financial markets.  His research has also produced such innovative statistical methods as cointegration, common features, autoregressive conditional duration (ACD),  CAViaR and now dynamic conditional correlation (DCC) models.

The Most Senior & Respected Gathering Of Quantitative Practitioners From The Top Institutions Across The Globe Including: Bank Of America Merrill Lynch, Goldman Sachs, Societe Generale, RBS, HSBC, Barclays Capital
Technical, Practical & Modelling Advice will be offered on all the below topics:
• Volatility Modelling & Trading
• Counterparty Credit Risk Modelling
• Pricing & Hedging Of Equity Derivatives
• Interest Rate & FX Modelling
• Computational Finance
• Commodities Trading & Risk Management
The First Annual Algorithmic Trading Summit Over 100 Senior Practitioners Attended This New & Exciting Summit Dedicated To Finding Liquidity, Trading Without Impact, Exploring Dark Pools & Determining The Way Forward For High Frequency Finance.  Watch This Space For The 2nd Annual Algorithmic Summit In 2011!

Led by Jim Gatherall, BAML; Robert Almgren, QUANTITATIVE BROKERS; Kerr Hatrick, DEUTSCHE BANK; Richard Olsen, OANDA; Gangadhar Darbha, RBS

A Comprehensive Programme Offering Technical, Practical & Modelling Advice On All The Important Topics In Quantitative Finance:

• Volatility Modelling & Trading
• Counterparty & Credit Risk Modelling
• Pricing & Hedging Of Equity Derivatives
• Interest Rate & FX Modelling
• Computational Finance
• Commodities Trading & Risk Management
5 Detailed Workshops Led By Renowned Quantitative Practitioners On Interest Rate Modelling, LMM-SABR, Counterparty Credit Risk, Commodities & Volatility

These workshops will be led by Bruno Dupire, Lief Anderson, Vladimir Piterbarg, Riccardo Rebonato, Massimo Morini & Helyette Geman - All are leading experts in their field!

Over 40 Hours Of Derivatives-Focussed Learning & Networking With The Leading Thinkers In The Industry 

To ensure you discover the most cutting edge developments in the industry

The Economic Outlook From Norbert Walter, The Former Chief Economist Of Deutsche Bank

Norbert Walter will give his perspective on:

Moving Forward In Our Post-Lehman World:
What Has The Global Crisis Revealed About The Structure Of The Financial Markets & How Should We Re-Invent Them As A Result? 

	Vladimir Piterbarg Global Head of Quantitative Analytics Group BARCLAYS CAPITAL Vladimir will be Determining The Effects Of Funding And Collateral In Derivatives Pricing
	Jesper Andreasen Global Head of Quantitative Research DANSKE BANK Jesper will discuss... Stochastic Local Volatility Models
	Bruno Dupire Head Of Quantitative Research BLOOMBERG Bruno will shed light on The Return(s) Of Super-Replication
	Riccardo Rebonato Head Of Front Office Risk Management & Head Of Quantitative Analytics, GBM ROYAL BANK OF SCOTLAND Riccardo will be Fixing SABR’s Asymptotic Approximation
	David Li Chief Risk Officer CICC David will be exploring A Risk Neutral Approach for the Gaussian Copula Credit Model
	Alex Lipton Global Head of Credit Analytics MERRILL LYNCH Alex will be discussing The Theoretical & Practical Issues Around The Credit Value Adjustment
	Peter Carr Head of Quantitative Financial Research BLOOMBERG Peter will be showcasing his latest research on Maximum Drawdown Derivatives
	Dariush Mirfendereski MD, Head Of Inflation Linked Trading UBS Dariush will explore The Good, The Bad, And The Ugly Of Trading The Global Inflation Markets
	Lorenzo Bergomi Head of Quantitative Research, Global Markets SOCIETE GENERALE Lorenzo will discuss Stochastic Volatility Smiles
	Martin Baxter Quantitative Analyst NOMURA Martin will offer insight on CVA Pricing, Integrated With Funding And Own Credit

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