Highlights / Key Themes

Renowned Nobel Laureate Professor Robert Engle Will Be Giving 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 World's Best Known Quant, Emanuel Derman Will Be Giving The Guest Quantitative Address exploring the big picture: Theories, Models & Metaphors in Science and Finance in this new world

Emanuel's presentation will elaborate on the below:

• Scientific theories deal with the natural world they model on their own terms, and can achieve great truth and accuracy.
• Models in finance are not theories; they are closer to metaphors that try to describe the object of their attention by comparing it to something else they already understand via theories.
• Models are always idealizations that sweep dirt under the rug.
• Good models and good modelers make explicit the sweeping and the nature of the dirt.

Emanuel Derman is a professor at Columbia University and director of their program in financial engineering, and is also the Head of Risk at Prisma Capital Partners, a fund of funds. In 1985 Dr Derman joined Goldman Sachs' fixed income division and went on to become the Head Of Goldman Sachs' Quantitative Strategies Group

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
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!

Brand New! Algorithmic Trading Summit Dedicated To Finding Liquidity, Trading Without Impact, Exploring Dark Pools & Determining The Way Forward For High Frequency Finance

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

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

NEW! Economic Address From Norbert Walter, Chief Economist Of Deutsche Bank To Ensure You Are Aware Of The Key Trends Moving Forward

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 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

£700 (updated 9 March 2010)

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