New for 2010
5 Cutting Edge Workshops & 1 Trail-Blazing Summit!
BRAND NEW: High Frequency Finance & Algorithmic Trading Summit
17th May 2010
We have created this special summit as a result of popular interest and demand. This full day summit features advice and insight from some of the leading figures on algorithmic trading. Areas to be explored include:
- High Frequency Finance: Trading Of The Future? How Far Have We Come And Where Do We Go From Here?
- Algorithmic Trading Outside Of Equities
- Market Microstructure: Market Microstructure Over The Credit Crunch, And Beyond
- Algorithmic Trading In All Asset Classes: How Will Algorithmic Trading Move Beyond Equities & Break Into FX, Futures, Options & Fixed Income
- Price Manipulation In Models Of The Order Book
Top Speakers include:
- Jim Gatheral, Managing Director, BANK OF AMERICA MERRILL LYNCH
- Richard Olsen, Founder, OANDA
- Robert Almgren, Co-Founder, QUANTITATIVE BROKERS
- Kerr Hatrick, Head, Asia Quantitative Products One, DEUTSCHE BANK
- Gangadhar Darbha, Head & Product Manager, Algorithmic Trading, RBS
NEW! Interest Rate Workshop led by Vladimir Piterbarg & Leif Anderson
21st May 2010
Interest Rate Modelling:
From Solid Foundations To Advanced Models
- Building Yield Curves
- Vanilla models for single and multi-rate derivatives
- Short rate models -- what works and what does not
- Industrial-strength Libor market models
- Interest rate exotics in Monte Carlo
- Lessons from crisis: Introducing deterministic and stochastic bases in interest rate models
This workshop is taking place in conjunction with the upcoming publication of Valdimir & Leif's newbook on Interest Rate Modeling, a three-volume book on fixed income modelling. A full list of topics covered in the book can be found on http://www.andersen-piterbarg-book.com they include yield curve building, stochastic volatility modelling, short rate and Libor market models, coverage of most types of interest rate derivatives and many topics in risk management.
BACK BY POPULAR DEMAND! Counterparty Risk & Credit Modelling led by Massimo Morini of BANCA IMI
17th May 2010Counterparty Risk & Credit Modelling With Lessons From The Crisis
- Credit Volatility Risk
- Credit Correlation risk
- Counterparty risk
- Credit and FX Risk
- Credit and Equity Risk
- Credit and Interest Rate risk
Massimo Morini
Head of Credit Models
BANCA IMI
NEW! Commodities Workshop led by Helyette Geman of Birkbeck University
17th May 2010
The Financialization of Commodity Markets and Commodity Derivatives:
The Crucial role of the Forward Curve in all Commodity Classes
- Crude Oil and Crude Refined Products as a Central Market
- Seasonal and Stochastic Features in Commodity Forward Curves: the Borovkova - Geman model.
- The Examples of Natural Gas, Corn and Wheat
- Metals: the Examples of Copper and Aluminium
- Gold and its Unique Role as the Numeraire Currency
- Asian Options in Shipping, Crude Oil and Gold Markets
- The Importance of Calendar and Physical Spread Options in Commodities and the Various Approaches
Helyette GEMAN
Professor of Finance
BIRKBECK, UNIVERSITY OF LONDON & ESCP EUROPE
Helyette's reference book Commodities and Commodity Derivatives: Energy, Metals and Agriculturals was published in January 2005. She is also a Member of the Board of the UBS-Bloomberg Commodity Index & in 2009 she edited the book Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy
BACK BY POPULAR DEMAND: An Updated LMM-SABR Workshop From Riccardo Rebonato
17th May 2010
The LMM-SABR Modelling Approach:
A New Paradigm for Pricing, Calibrating and Hedging Interest-rate Derivatives
in the Presence of Smiles
The course outline will be as follows:
- The LIBOR Market Model framework (deterministic volatility)
- Deriving the Drifts of the Forward RatesThe SABR Model
- Qualitative Hedging Behaviour
- Combining LMM and SABR
- Analytical Approximation to Swaption Prices
- Calibrating to Caplet Prices
- Calibrating the Volatility Function
- Empirical Evidence
- Statistical Behaviour of Fitted Parameters, and How to Use This Information for Hedging
- Hedging under Conditions of Market Turmoil
Riccardo Rebonato
Head Of Front-Office Risk Management & Head Of Quantitative Analytics, GBM
ROYAL BANK OF SCOTLAND
BACK BY POPULAR DEMAND! Bruno Dupire Is Offering A Cutting Edge & Updated Volatility Workshop
21st May 2010
Volatility & Correlation Modelling & Trading In Practice
The course outline will be as follows:
- The Fundamentals Of Volatility
- Volatility Models Review
- Building An Implied Volatility Surface
- Local Volatility In Practice
- Variance Swaps
- Volatility Arbitrage
- Correlation Basics
- Modeling Correlation
- Pricing With Correlation
- Correlation Trading
Bruno Dupire
Quantitative Research
BLOOMBERG
