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Global Derivatives Trading & Risk Management 20th Anniversary

www.icbi-derivatives.com
2013
Portfolio Optimisation Summit: 15 April Main Conference: 16-18 April Separately-Bookable Workshops: 15 & 19 April Hotel Okura, Amsterdam
GLOBAL ECONOMIC OUTLOOK
LESSONS FROM THE MARKET WIZARDS
David Folkerts-Landau Chief Economist & Member Of The Group Executive Committee DEUTSCHE BANK
Jack Schwager Co-Portfolio Manager ADM INVESTOR SERVICES DIVERSIFIED STRATEGIES FUND
Cutting-Edge Strategies & Practical Techniques For Advanced Derivatives Pricing, Hedging, Trading & Risk Management
Learn From Over 120 Leading Financial Minds
NEW
Portfolio Optimisation & Quantitative Investment Summit

Monday 15 April 2013
Jesper Andreasen Global Head Of Quantitative Research DANSKE BANK
Peter Carr Managing Director MORGAN STANLEY
Riccardo Rebonato Head Of Rates & FX Analytics PIMCO

BUY SIDE
Marco Dion Global Head Of Equity Quant Strategy JP MORGAN
Dont Miss Global Derivatives First Ever Portfolio Optimisation & Quantitative Investment Summit! The summit will bring together senior industry gures from leading buy and sell side rms to discuss practical solutions to the key challenges buy side rms face in the derivatives markets. Learn how to develop successful alpha generation strategies and construct portfolios with an optimal balance of risk and return, even in todays cost-constrained, risk-averse market environment. Dont miss invaluable insights from: AMUNDI, JP MORGAN, KEPOS CAPITAL, MACQUARIE BANK, MAN INVESTMENTS, MARSHALL WACE, PGGM, RENAISSANCE ASSET MANAGERS
Bruno Dupire Head Of Quantitative Research BLOOMBERG
Jim Gatheral Professor, Department Of Mathematics BARUCH COLLEGE, CUNY
Yoav Git Senior Research Fellow MAN INVESTMENTS
Paul Glasserman Jack R. Anderson Professor Of Business COLUMBIA BUSINESS SCHOOL
Maximise Your Learning At Our Separately-Bookable Technical Workshops

John Hull, Maple Financial Professor Of Derivatives & Risk Management JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO Monday 15 April 2013
VIX
REGULATIO
The Valuation Of Credit Derivatives
John Hull Maple Financial Professor Of Derivatives & Risk Management UNIVERSITY OF TORONTO
Maneesh Deshpande Managing Director, Head Of Equity Derivatives Strategy Research BARCLAYS
Mark White SVP, Capital Management & Optimization BANK OF MONTREAL
Alexander Lipton Co-Head Of Global Quantitative Group BANK OF AMERICA MERRILL LYNCH
Volatility & Correlation Modelling & Trading In Practice

Bruno Dupire, Head Of Quantitative Research, BLOOMBERG Friday 19 April 2013
E HEDG
FUND
Credit Collateral & Funding: CVA, DVA, FVA & Beyond

Alex Langnau Global Head Of Quantitative Analytics ALLIANZ INVESTMENT MANAGEMENT Dilip Madan Professor Of Mathematical Finance UNIVERSITY OF MARYLAND
Vladimir Piterbarg Global Head Of Quantitative Analytics Group BARCLAYS
Michael Hintze Chief Executive Ofcer & Senior Investment Ofcer CQS
Damiano Brigo, Professor & Co-Head Of Mathematical Finance, IMPERIAL COLLEGE LONDON Friday 19 April 2013
Latest Innovations In Multi-Curve Modelling & Discounting

Fabio Mercurio, Head Of Quant Business Managers, BLOOMBERG Friday 19 April 2013
Whats New For 2013?

MORE
Traders, Strategists & Buy Side Participants T 2013s event e will offer our most diverse speaker line-up ever, with NEW speakers providing NEW perspectives & offering invaluable insights. D Dedicated Stream On Quantitative Investment Strategies & Algorithmic Trading For the rst time systematic trading will be covered as part of the main conference agenda. The new stream will examine issues such as: techniques for developing effective algorithms, market microstructure, optimal execution, inventory management and big data. S Sessions On Risk Managing & Modelling Insurance Products Global Derivatives D 2013 will feature a half-day stream specically focused on the issues that insurance companies face, including designing & hedging variable annuities, controlling volatility & gap risks in protection strategies and managing long-dated interest rate risk. The 201 2013 event will feature 2 full streams dedicated to all the latest cutting-edge research on modelling, risk managing and trading volatility.
LIBOR Market Models: Models, Algorithms & Practice

Christian Fries, Head Of Financial Model Development, DZ BANK Jrg Kienitz, Head Of Quantitative Analysis, DEUTSCHE POSTBANK Friday 19 April 2013
NEW
NEW
Companies That Have Already Conrmed Their Attendance Include:

Q Allianz Q Amundi Q AXA Q Banca IMI Q Bank Of America Merrill Lynch Q Bank Of Montreal Q Barclays Q BNP Paribas Q Citi Q Commerzbank Q CQS Q Credit Suisse Q Danske Bank Q Deutsche Bank Q EBRD Q Edison Trading Q HSBC Q ING Bank Q JP Morgan Q Kepos Capital Q Lloyds Banking Group Q Macquarie Q Man Investments Q Marshall Wace Q MetLife Q Morgan Stanley Q Munich Re Q Natixis Q Nomura Q PFA Pension Q PGGM Q PIMCO Q RBS Q Santander Q Societe Generale Q UBS Q UniCredit Q VTB Capital Q Wells Fargo
On VIX, Second Generation Volatility Products & Volatility Trading Strategies MORE O
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For latest program and to register: www.icbi-derivatives.com Tel: +44 (0) 20 7017 7200 Fax: +44 (0) 20 7017 7807 Email: info@icbi.co.uk
Global Derivatives Turns 20!

For the last 20 years Global Derivatives has been bringing you the latest cutting-edge research on pricing, hedging and trading derivatives. The event has been through some big changes, especially over the last few years, as we have shifted our focus from exotics pricing to take a more wide-ranging view of the industry including risk management, regulation and CVA amongst others, and this year is no exception as we continue to reect the regulatory changes and market events changing the face of the derivatives industry. Reecting the changing role of quants, this years event features our rst ever portfolio optimisation summit and the conference will place a growing focus on topics such as quantitative investment strategies, systematic trading and risk management. This year will also bring you our most diverse speaker line-up ever, featuring more traders, more strategists and more buy side participants. We hope you enjoy the added learning and networking opportunities this provides. Some of you have been with us from the beginning and some of you will be joining us for the rst time this year, either way we look forward to welcoming you to Amsterdam and to charting the changing landscape of quantitative nance with you over the next 20 years!
More Traders & Buy Side Participants Than Ever Before Including
Jack Schwager Co-Portfolio Manager ADMIS Jan de Spiegeleer Head Of Risk Management JABRE CAPITAL PARTNERS
Pierre de Saab Director, Fund Manager DOMINIC & CO Michael Hintze Chief Executive Ofcer & Senior Investment Ofcer, CQS
Yoav Git Senior Research Fellow MAN INVESTMENTS
Ali Hirsa Managing Partner SAUMA CAPITAL
Unmissable Networking Opportunities At Global Derivatives 2013

Global Derivatives Trading & Risk Management is the biggest and most high prole event of its kind. Regularly attracting over 500 participants, the event provides the years best opportunity to meet and learn from hundreds of senior quants, traders, risk managers, academics and regulators from a wide range of industries, company types and from all over the world. Just some of the events attendees will be able to participate in include:
Philippe Ithurbide Global Head Of Research AMUNDI Finn Knudsen Senior Risk Manager PFA PENSION
Stefan Jaschke Head Of Quantitative Analysis MUNICH RE Michael Kollo Head Of Quantitative Research & Risk, RENAISSANCE ASSET MANAGERS Chris Limbach Assistant To The Chief Executive Ofcer, PGGM INVESTMENTS Elisa Scarpa Head Of Market Analysis & Forecasting EDISON TRADING Andrew Rallis Global Head Of Asset/Liability Management METLIFE Steve Young Chief Risk Ofcer WELLS FARGO ASSET MANAGEMENT
Alex Langnau Global Head Of Quantitative Analytics ALLIANZ INVESTMENT MANAGEMENT
Meet The Speaker Lunchtables

This is your opportunity to have lunch with one of the worlds leading quants! The lunchtables provide an informal environment where you can chat and ask questions as you enjoy lunch with a small group of your peers and one of the leading lights of the industry. Sign up in advance to make sure you can reserve a space at your favourite speakers table. Speakers who have already conrmed they will be hosting lunchtables include: Jesper Andreasen, Peter Carr, Jim Gatheral, Paul Glasserman, John Hull & Jack Schwager
Attilio Meucci Chief Risk Ofcer KEPOS CAPITAL
Champagne Roundtables
The champagne roundtable discussion groups provide you with the ideal place to meet face-to-face with some of our key speakers, in small groups of about 10 people. You will be able to choose between the tables and discuss specic issues and ideas that have arisen over the course of the day in a highly interactive environment with a glass of champagne in hand!
Hans-Peter Schch Director, Structured Rates Trading NOMURA
Welcome Drinks Tuesday 16th April 2013

Reconnect with some old friends and make some new ones at our welcome drinks reception the perfect start to the Global Derivatives conference!
Riccardo Rebonato Head Of Rates & FX Analytics PIMCO
The Global Derivatives Trading & Risk Management Cocktail Reception Wednesday 17th April 2013
Meet and network with hundreds of senior quants, risk managers, traders and academics from around the world. Share war stories and learn from the experience of your peers.
I Tell Many Of My Colleagues In Academia And Industry That If They Have One Conference To Go To Each Year, Global Derivatives Is The Best One To Choose.
Mark Broadie, Carson Family Professor Of Business, GRADUATE SCHOOL OF BUSINESS, COLUMBIA UNIVERSITY
Dont Miss Our Brand New, Separately-Bookable Portfolio Optimisation & Quantitative Investment Summit
Whether you are already using quantitative techniques in your investing and portfolio construction or are eager to learn how you can implement these exciting techniques in your rm, the summit will teach you how to successfully develop, implement and optimise quantitative investment strategies. Attending will enable you to: Discover how quantitative investment approaches can benet your rm Learn how to construct alpha generation strategies that make money Get insight from leading rms including Amundi, JP Morgan, Kepos Capital, Macquarie Bank, Man Investments, Marshall Wace, PGGM & Renaissance Asset Managers Examine the role of quantitative investments at pension fund investment managers Explore how to combine quantitative and fundamental approaches to optimise portfolio construction Find out how to use language recognition algorithms to improve systematic trading strategies Assess the role of convexity in portfolio construction Hear about the future role of diversication in a time of growing correlation Network with senior portfolio and risk managers from leading buy and sell side rms Portfolio optimisation in the face of Risk-averse investors and cost constrained environment Dont miss your opportunity to discuss cutting-edge quantitative investment strategies with senior experts from leading buy and sell side rms and benet from their expertise.

08.00 08.35 08.40 Coffee & Registration Chairmans Opening Remarks
Constructing Alpha Generation Strategies That Make Money

Understanding What Signals Work & What Signals Generate Money Yoav Git, Senior Research Fellow, MAN INVESTMENTS
09.20
How To Use Language Recognition Algorithms To Analyse News Flow & Improve Systematic Trading Strategies
Marco Dion, Global Head Of Equity Quant Strategy, JP MORGAN Combining Quantitative & Fundamental Approaches To Optimise Portfolio Construction & Risk Management In A Risk-Averse, Cost-Constrained Environment Michael Kollo, Head Of Quantitative Research & Risk RENAISSANCE ASSET MANAGERS Ron Guido, Senior Quantitative Research Analyst, MARSHALL WACE Marco Dion, Global Head Of Equity Quant Strategy, JP MORGAN Morning Coffee
Quant ThinkTank I: Integrating Quant & Fundamental Approaches
10.00
10.40 11.10
Signals
Mixing Signals For More Effective Portfolio Construction Ron Guido, Senior Researcher, MARSHALL WACE
11.50 12.30 13.50
Chris Limbach, Advisor To The Chief Executive Ofcer, PGGM INVESTMENTS Lunch
Evaluating The Role Of Quantitative Investments At Pension Fund Investment Managers
Stressing About Risk

Gurvinder Brar, Head Of Global Quantitative Research, MACQUARIE BANK
14.30 15.10
Liquidity Risk
New Techniques In Quantitative Liquidity Risk Measurement & Management Attilio Meucci, Chief Risk Ofcer, KEPOS CAPITAL Afternoon Tea
Volatility & Correlation Are Not Constant

15.40 Examining The Role Of Convexity In Portfolio Construction Richard Haworth, Principal & Chief Investment Ofcer 36 SOUTH CAPITAL ADVISORS
16.20
The End Of Diversication

Jessica James, Head Of The FX Quantitative Solutions Team COMMERZBANK
Quant ThinkTank II: Quantitative Investment In A Risk-Averse World
I Had A Wonderful Time At Global Derivatives 2012. It Was A Great Opportunity To Network And Expand My Knowledge Base.
Chris Cole, Managing Partner, ARTEMIS CAPITAL MANAGEMENT
17.00
How Have The New Demands Of Risk-Averse Investors Impacted Quantitative Investment Strategies? Moderator: Arthur Berd, Founder & Chief Executive Ofcer GENERAL QUANTITATIVE Philippe Ithurbide, Global Head Of Research, AMUNDI Chris Limbach, Assistant To The Chief Executive Ofcer, PGGM INVESTMENTS Chairmans Closing Remarks End Of Summit
17.40 17.45
Separately-Bookable Quantitative Finance Workshop - Monday 15 April 2013

The Valuation Of Credit Derivatives
Estimating Default Probabilities Real world vs risk neutral default probabilities Using historical data Using credit spreads Scenario analysis vs valuation Valuation of credit default swaps Mertons model Valuing Derivatives With Counterparty Credit Risk Choice of a discount rate: LIBOR vs OIS Estimation of CVA and DVA Wrong way risk Should an FVA adjustment be made Correlation Models & CDO Valuation How copulas work How they are used in credit risk The Gaussian copula model and Basel II applications Application to CDOs Extensions of the basic model
Maximise Your Learning At Our Full-Day, In-Depth Technical Workshops

Our workshops are in-depth, classroom-based learning sessions led by world-renowned experts in that eld. Workshops are run in small groups so that each participant can receive one-on-one attention and provide the perfect opportunity to ask questions and gain real understanding of some complex topics, as the workshop leader examines the topic in far more depth than is possible in a 40 minute session. Focused on specic areas so you can choose the workshop best suited to your area of interest, attending the workshop will enable you to learn concrete solutions to problems you face every day in your role that you can implement as soon as you are back in the ofce.
John Hull, Maple Financial Professor Of Derivatives & Risk Management JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO
John Hull is an internationally recognized authority on derivatives and risk management. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many nancial institutions and has won many teaching awards, including University of Torontos prestigious Northrop Frye award. He has written three books: Risk Management and Financial Institutions (now in its 3rd edition), Options, Futures, and Other Derivatives (now in its 8th edition) and Fundamentals of Futures and Options Markets (now in its 7th edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. Dr. Hull is co-director of Rotmans Master of Finance program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Craneld University, and London Business School.
Why not gain maximum benet from these sessions by combining the John Hulls Valuation Of Credit Derivatives workshop on Monday with one of the four workshops available on Friday?
See page 6 for more details
Main Conference - Day 1

Tuesday 16 April 2013
08.00 08.30 08.35 Coffee & Registration Chairmans Opening Remarks Examining The Future Outlook For Global Markets David Folkerts-Landau, Chief Economist & Member Of The Group Executive Committee, DEUTSCHE BANK The FVA Debate John Hull, Maple Financial Professor Of Derivatives & Risk Management, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO Industry Thinktank (with electronic polling) Assessing How Regulatory Reform Is Impacting Derivatives Markets & The Implications For Business Models & Protability Michael Hintze, Chief Executive Ofcer & Senior Investment Ofcer, CQS Rama Cont, Chair In Mathematical Finance & Professor Of Mathematics, IMPERIAL COLLEGE LONDON Mark White, Senior Vice President, Capital Management & Optimization, BANK OF MONTREAL Morning Coffee
Stream A - New Volatility Modelling & Trading Techniques Arbitrage-Free SVI Volatility Surfaces Stream B - The Latest Innovations In CVA Trade Economics In Derivative Pricing Andrew Green LLOYDS BANKING GROUP CVA Building Blocks Vanishing Options With Smile Peter Jaeckel VTB CAPITAL Stream C - Capital Optimisation & The New Regulatory Requirements Examining The Market Impact Of New Regulatory Reforms Rama Cont IMPERIAL COLLEGE LONDON A Road Map For Capital Planning & Optimization Under Basel III Mark White BANK OF MONTREAL CENTRAL CLEARING MASTERCLASS Session 1 Examining The Progress Towards Central Clearing & The Implications For The Market What Are The Advantages & Disadvantages Of Moving To Exchanges? Ulrich Karl, HSBC Stream D - Advanced Pricing, Hedging & Trading Of FX Derivatives Examining Currency Hedging For Bond & Equities Investors Saeed Amen NOMURA Modelling Currency Volatility Modelling Volatility Between A Currency Pair When Smile Interpolation Breaks Down Due To Pegging Or Other Central Bank Intervention

Wednesday 17 April 2013
08.00
Stream A New Advances In Modelling Hybrid Products
Coffee & Registration

Stream B The Latest Developments In Collateral Modelling Chairmans Opening Remarks Collateral Trading Comparing Different Collateral Trading Techniques & Exploring How We Can Make Collateral Trading More Efcient Claudio Albanese KINGS COLLEGE LONDON CSA Modelling Overcoming The Challenges Of Modelling Optionality In CSAs & Examining The Potential Impact Of Moves To Standardise Collateral Contracts Collateral Convexity Of Libor & FX Forwards Paul McCloud NOMURA Stream C The Latest Innovations In FVA Chairmans Opening Remarks DEBATE What Is FVA? Dening FVA & Exploring How You Need To Account For It Damiano Brigo, IMPERIAL COLLEGE LONDON Christoph Burgard BARCLAYS Louis Scott, UBS Finding Valuation Adjustments: A New Look At CVA/ DVA/ FVA Fabio Mercurio BLOOMBERG Stream D - Innovations In Quantitative Investment Strategies & Algorithmic Trading Chairmans Opening Remarks From Risk-Neutral To Alpha Strategies: Quants In Transition Alex Langnau ALLIANZ INVESTMENT MANAGEMENT Market Impact With Autocorrelated Order Flow Under Perfect Competition Jim Gatheral BARUCH COLLEGE, CUNY Examining The Latest Research In Market Microstructure & Market Design Robert Almgren QUANTITATIVE BROKERS
Global Economic Outlook
08.35
Chairmans Opening Remarks Developing Risk Models To Jointly Model Equity, Interest Rates & Credit Risk Together & Accurately Capturing The Dependency Between The Three Jan de Spiegeleer JABRE CAPITAL PARTNERS Examining The Impact Of Forward Skew & Stochastic Rates In Autocallable Products Diana Enes SANTANDER Expansion Formulas For The Best-Of Option On Equity & Ination Julien Hok SANTANDER
Guest Academic Address
09.15
Regulation & The New Financial Order
08.40
09.55
09.20
10.35
10.00
Economic Value & FVA Andrew Dickinson JP MORGAN
11.00
Jim Gatheral BARUCH COLLEGE, CUNY Pricing Basket & Spread Options Under Local Correlation Jesper Andreasen DANSKE BANK
10.40
Stream A - Innovations In Pricing, Hedging & Trading Equity Derivatives
Morning Coffee Stream B - New Advances In Interest Rate Modelling & CSA Discounting Multiple-Curve Modelling In Collateralized Markets Andrea Pallavicini BANCA IMI Model Risk In Funding Value Adjustment Challenging The Recent Approaches To FVA & Collateralized Pricing Massimo Morini BANCA IMI Consistent No-Arbitrage Derivatives Pricing Including Funding & Collateral Marco Bianchetti BANCA INTESA SANPAOLO Stream C - New Advances In Risk Management Models & Techniques Can We Recover? Peter Carr MORGAN STANLEY
11.10
11.40
Market Update: Attractive Trading Opportunities & Current Investor Focus Areas In Equity Volatility Kaya Endo, CITI
Surprising Insights From Market Microstructure Thomas Bisig OLSEN LTD
SPECIAL EXTENDED SESSION Pricing Quantos Accurately A Model Agnostic Approach Moty Spiegelglas SUPERDERIVATIVES Dividend Modelling How Do You Combine Stochastic Volatility & Local Volatility With Dividends? Akilesh Eswaran DEUTSCHE BANK
12.20
Towards The Universal Model: The Challenges & Benets Of Enriching A Stochastic/ Local Volatility MUREX
Bounding Wrong-Way Risk In CVA Calculation Paul Glasserman COLUMBIA BUSINESS SCHOOL
11.50
Smile Dynamics Applied To Equity Derivatives
Session 1 Practical Implementation Of The LMM-SABR Model Riccardo Rebonato PIMCO Session 2 Using & Calibrating The LMM-SABR Model In Exceptional Market Conditions Riccardo Rebonato PIMCO
Optimising Inventory Management For Risk Controlled High Frequency Trading In A Large Portfolio Establishing The Key Criteria To Decide What To Trade & What To Carry Michael Sotiropoulos BANK OF AMERICA MERRILL LYNCH New Practical Techniques For Optimising Execution & Minimise Market Impact Strategies For Exploiting Imbalances In The Market
13.00
Lunch + Meet The Speaker Lunchtables - John Hull, UNIVERSITY OF TORONTO Jim Gatheral, BARUCH COLLEGE, CUNY Paul Glasserman, COLUMBIA BUSINESS SCHOOL plus more tbc! Decoding The Volatility Smile Managing CVA & DVA For Secured Credit Portfolios Youssef Elouerkhaoui CITI Session 2 More For Less Examining The Impact Of Clearing For Buy Side Firms In The Light Of Higher Margin Requirements & Reduced Flexibility The Fair Value Of FX Options Jessica James COMMERZBANK Modelling Currency Volatility Modelling FX Volatility When Conventional Smile Models Break Down Due To Pegging Or Other Central Bank Intervention David Shelton BANK OF AMERICA MERRILL LYNCH FX Correlation Developing A Coherent Model For Correlation Across Multiple FX Combinations: How Should We Model Correlated Markets?
12.30
14.15
William McGhee RBS
13.10
Lunch + Meet The Speaker Lunchtables Jesper Andreasen, DANSKE BANK Peter Carr, MORGAN STANLEY plus more tbc! Equity Implied Volatilities: Models vs Realities David Hait OPTIONMETRICS New Advances In Modelling Tenor Specic Curves Dilip Madan UNIVERSITY OF MARYLAND Developing A Long Term Yield Curve Model Michael Dempster UNIVERSITY OF CAMBRIDGE Beyond The Complete Markets Paradigm: Pricing & Hedging Derivatives With Unhedgeable Market Risks & Model Risks John Crosby, GLASGOW UNIVERSITY & GRIZZLY BEAR CAPITAL Latest Advances In Liquidity Risk Modelling Rama Cont IMPERIAL COLLEGE LONDON Big Data Using Big Data To Develop Efcient Trading Strategies Tobias Preis WARWICK BUSINESS SCHOOL Risk Control & Allocation In Algorithmic Trading Ali Hirsa SAUMA CAPITAL
14.55
Dynamic Hedging Of Volatility Derivatives Philippe Henrotte ITO 33
Examining The Latest Advances In Calculating CVA Across The Whole Book
What Has Been Missed By The Finance Industry Nasir Afaf NONLINEAR LTD
14.30
15.35
Exploring The Latest Advances In The Management Of Jump Risk Price Jumps & Information Jumps: Financial Modelling With Lvy Information Lane Hughston UNIVERSITY COLLEGE LONDON
Pricing Credit Default Swaps With Bilateral Value Adjustments Alex Lipton, BANK OF AMERICA MERRILL LYNCH & IMPERIAL COLLEGE
Fuelled By The Increasing Challenges Of A Changing Regulatory Environment We Dissect The Eternal Analytics Dilemma: Performance Versus Accuracy MUREX
15.10
Exploring The Hidden Risk In Quantos Peter Austing BARCLAYS
15.50
Skew Some Aspects Of Correlation Skew Modelling In Equities Vladimir Lucic BARCLAYS Local Correlation Using Algorithmic Differentiation For Fast Modelling Of Local Correlation Adil Reghai NATIXIS Exploring The Latest Advances In Developing Stochastic Correlation Models Sebastien Bossu
Afternoon Coffee Derivatives On Cash Instruments Hans-Peter Schch NOMURA Backtesting Risk Models To Examine Actual Model Performance Eva Strasser JP MORGAN Hybrid Structural Default Modeling Marat Kramin WELLS FRAGO Steve Young, WELLS FARGO ASSET MANAGEMENT GROUP Systemic Risk Assessing The Different Early Warning Systems & Their Impact On Systemic Risk Deduction Wim Schoutens CATHOLIC UNIVERSITY OF LEUVEN Chairmans Closing Remarks CASE STUDY Lifting The Lid On Algo & Low Latency (HFT) Trading Peter van Kleef LAKEVIEW CAPITAL MARKET SERVICES Trading In The Dark Examining Liquidity Fixing, Understanding If Liquidity Is Toxic & Assessing How Much It Costs To Trade In The Dark Compared To In The Light Xavier Abdobal JP MORGAN
16.15
Consistently Modelling Joint Dynamics Of Volatility & Underlying To Enable Effective Hedging Artur Sepp BANK OF AMERICA MERRILL LYNCH Stochastic Stock Price Models & All That: Densities, Pricing Functions & Smile Asymptotics Archil Gulisashvili OHIO UNIVERSITY Forecasting Volatility, Correlation & Other Dynamic Metrics A New Look At The Popular Econometric & Statistical Methods Arthur Berd GENERAL QUANTITATIVE Chairmans Closing Remarks
Afternoon Coffee CVA Computation Latest Advances In Overcoming The Computational Challenges Of CVA Luca Capriotti CREDIT SUISSE DVA DVA, Funding & Own Credit Adjustments Christoph Burgard BARCLAYS CVA Capital Charge: Between Market & Counterparty Risk Pierpaolo Montana BNP PARIBAS Simon Dean, BNP PARIBAS CDS Pricing Under Basel III: Capital Relief & Default Protection Chris Kenyon LLOYDS BANKING GROUP Backtesting Of Counterparty Risk Exposure Models Under Basel III Claudia Yastremiz BARCLAYS Chairmans Closing Remarks Cross-Currency Swaps New Practical Techniques For Pricing Cross-Currency Swaps With Multi-Currency Collateral Chia Tan DEUTSCHE BANK Networks Of Belief: FX Derivatives In Regulated Markets Jrgen Hakala, EFG FINANCIAL PRODUCTS Wrong Way Risk In FX: Building Consistent Multi-Currency Framework For OIS / CVA / DVA Artem Tsvetkov ING BANK Chairmans Closing Remarks
16.20
16.40
17.00
What Drives Interest Rates Volatility? Piotr Karasinski EBRD
17.20
18.00
CVA Hedging Efcient Numerical Techniques In CVA Valuations Dong Qu, UNICREDIT Chairmans Closing Remarks
17.40
Interbank Spreads Explained By Simple Credit Model Christian Fenger DANSKE BANK Chairmans Closing Remarks
Assessing The Impact Of Regulatory Reforms On High Frequency Trading Business Models
18.20 18.25 18.35
18.40 18.45 18.55
Chairmans Closing Remarks
Chairmans Closing Remarks
Champagne Roundtables Saeed Amen, NOMURA Christoph Burgard, BARCLAYS Peter Jaeckel, VTB CAPITAL Mark White, BANK OF MONTREAL plus more tbc! Welcome Drinks
Champagne Roundtables Robert Almgren, QUANTITATIVE BROKERS Alex Langnau, ALLIANZ INVESTMENT MANAGEMENT Massimo Morini, BANCA IMI plus more tbc! The Global Derivatives Trading & Risk Management 2013 Drinks Reception

Thursday 18 April 2013
07.45 08.25 08.30 Coffee & Registration Chairmans Opening Remarks Trading Lessons Of The Market Wizards Jack Schwager, Co-Portfolio Manager ADM INVESTOR SERVICES DIVERSIFIED STRATEGIES FUND The Proper Use Of Derivatives Bruno Dupire, Head Of Quantitative Research, BLOOMBERG 360 Industry View
Unique Trading Insights
What Makes Global Derivatives The Must-Attend Event For All Leading Quantitative Finance Professionals?
Global Derivatives Trading & Risk Management Is The Worlds Largest Derivatives Conference We regularly attract over 500 senior quants, risk managers, traders and academics from all over the world. The Most Comprehensive Programme In The Market With 5 days of content, over 120 speakers, 100 sessions over 4 streams, separately-bookable workshops and a stand alone summit, we cover more than any other derivatives conference. Global Derivatives is the only event to cover the latest advances in pricing, hedging and trading derivatives across all asset classes. Global Derivatives Gives You The Chance To Discuss The Latest Cutting-Edge Quantitative Research Directly With The Author! Global Derivatives 2013 will cover the latest research on volatility, CVA, DVA, FVA, interest rates, collateral, correlation, regulation, ination, FX, credit derivatives, risk management, equity derivatives, ETFs, VIX, computational efciency, hybrid products, structured products, securitisation, commodities, variable annuities and much more...
09.10
09.50
From Exotics Pricing To Capital Optimisation, Investment Strategies & Beyond: Examining What The Future Holds For Quantitative Finance Vladimir Piterbarg, Global Head Of Quantitative Analytics Group BARCLAYS Jesper Andreasen, Global Head Of Quantitative Research, DANSKE BANK Peter Carr, Managing Director, MORGAN STANLEY Riccardo Rebonato, Head Of Rates & FX Analytics, PIMCO Bruno Dupire, Head Of Quantitative Research, BLOOMBERG
Morning Coffee Stream A - New Volatility Modelling & Trading Techniques Stream B - Advanced Risk Management & Modelling Of Insurance Products Stream C - Innovations In Computational & Numerical Efciency Stream D - New Strategies & Techniques For Commodities Trading & Risk Management Future Outlook For Commodities Markets Evaluating The Impact Of Speculators, Politicians & Regulators On Commodities Markets & Assessing Where The Future Opportunities Are To Be Found Elisa Scarpa EDISON TRADING Gold What Drives Gold? Saeed Amen NOMURA Evidence On The Returns & Risks Of Diversied Commodity Futures Portfolios Robert Daigler FLORIDA INTERNATIONAL UNIVERSITY
Quants On The Move
10.40
11.10
VIX Derivatives Recent Developments & Trading Strategies Maneesh Deshpande BARCLAYS
Product Design & Protection Strategies: Controlling Volatility & Managing Gaps Stefan Jaschke MUNICH RE
SPECIAL EXTENDED SESSION Optimal Trade Execution: Viscosity Solutions & HJB Equations Peter Forsyth UNIVERSITY OF WATERLOO
11.50
Multi-Factor Unspanned Stochastic-Local Volatility Model Igor Halperin JP MORGAN Techniques For Instantaneous Arbitrage-Free Fitting Of Bid & Ask Quotes Jan Maruhn, UNICREDIT
Managing Gap Risks In Life Insurance Unit-Linked Guarantees Aymeric Kalife, DAUPHINE UNIVERSITY & AXA (RISK MANAGEMENT, LIFE & SAVINGS) Managing Guarantees In The Insurance Sector Finn Knudsen PFA PENSION
Keep Up To Date With The Latest News

While nothing can replace the opportunity to meet face to face, here at Global Derivatives, we believe social media is key to bridging the information and networking gap between our annual conferences. With that in mind, we would like to invite you to join us on our social media journey of discovery. If youre a social media novice, just ask any member of the team for a quick tour. Our blog blogs.icbi-events.com/global-derivatives/ brings original articles from some of our high prole guest speakers, our industry research and a digest of news and views from around the web. Register for email updates or add our RSS feed to your reader.
12.30
Forward-Monte-Carlo Schemes For Non-Linear PDEs: Multi-Type Marked Branching Diffusions Pierre Henry-Labordre SOCIT GNRALE
13.10
Lunch + Meet The Speaker Lunchtables Alex Lipton, BANK OF AMERICA MERRILL LYNCH & IMPERIAL COLLEGE Jack Schwager, ADMIS DIVERSIFIED STRATEGIES FUND plus more tbc! PANEL - Talking Alpha Exploring Volatility As An Alpha Generating Strategy Pierre de Saab DOMINIC & CO Peter van Kleef LAKEVIEW CAPITAL MARKET SERVICES Overcoming The Challenges Of Variable Annuity Product Design & Dynamic Hedging In A Very Low Interest Rate Environment Andrew Rallis, METLIFE Stream B - Modelling For Fixed Income Derivatives New Techniques For Pricing VIX Futures & Options Valuation Of CDS Protection From Correlated Counterparties Dherminder Kainth, RBS GPUs New Techniques For Using GPUs To Make Derivatives Pricing & Modelling More Efcient Commodity Derivatives Pricing With Smile Modelling & FX Iain Clark
14.20
Follow us on Twitter at @Global_Derivs or @MarieHoughton or search for #GDTRM for the latest industry updates and live tweets from our events.
15.00
Marco Avellaneda COURANT INSTITUTE, NYU
Graphic Violence: Quantitative Technology In A Time Of Turmoil Peter Fraenkel UBS
FX Volatility & Commodities Incorporating FX Volatility In Commodity Spread Option Pricing Joe Chen NEXEN INC.
The Global Derivatives Trading & Risk Management LinkedIn group is a great place for you to connect with your peers, share ideas and discuss the latest news and industry developments.
15.40
VIX ETFs & ETNs Modelling VIX Futures & VIX ETNs/ ETFs Lorenzo Bergomi SOCIETE GENERALE
Afternoon Coffee Latest Innovations In Credit Derivative Modelling Andrei Serjantov BNP PARIBAS Longevity Recent Advances In Hedging Longevity Risk: From CSA Modelling To Basis Risk Management Enrico Bifs IMPERIAL COLLEGE LONDON Minimal Ination: Pricing Ination-Linked Options With A One-Factor Local Volatility Model Diana Ribeiro LLOYDS BANKING GROUP Chairmans Closing Remarks Asymptotics Can Beat Monte-Carlo The Case Of Correlated CEV Baskets Peter Laurence UNIVERSITA DI ROMA 1 Rational Shapes Of The Local Volatility Surface Peter Friz TU-BERLIN Energy Derivatives From Financial Modelling To Physical Derivatives Peter Leoni K.U. LEUVEN
You can watch interviews with key speakers and highlights from past events by logging on to the GlobalDerivativesTV YouTube channel youtube.com/GlobalDerivativesTV
16.00
16.40
Stochastic Volatility, Implied Volatility & Chaos Alireza Javaheri JP MORGAN Stochastic Volatility With Self-Exciting Jumps: Risk Premium & Hedging Implications Ser-Huang Poon MANCHESTER BUSINESS SCHOOL Chairmans Closing Remarks
Efcient Pricing For Various Basket Option Types In Commodity Markets Cristian Homescu WELLS FARGO
Visit www.pinterest.com/icbi to see pictures and video footage from last years conference, plus other market leading events organised by ICBI.
17.20
Recent Developments In (Algorithmic) Local Derivatives Uwe Naumann RWTH AACHEN UNIVERSITY Chairmans Closing Remarks
Adjoint Greeks For Energy Derivatives Roza Galeeva MORGAN STANLEY Chairmans Closing Remarks
Global Derivatives 2012 Was A Great Event And I Had A Very Good Time. I Think Its The Best Conference In The Area And The Presentations Were Excellent.
Stephen Ross, Franco Modigliani, Professor Of Financial Economics, MASSACHUSETTS INSTITUTE OF TECHNOLOGY
18.00 18.10
End Of Main Conference
Please Turn Over For Details Of The 4 Workshops Avilable On Friday Volatility & Correlation Modelling & Trading In Practice Credit Collateral & Funding: CVA, DVA, FVA & Beyond Latest Innovations In Multi-Curve Modelling & Discounting LIBOR Market Models: Models, Algorithms & Practice
Global Derivatives 2012 Was An Excellent Conference.

Vladimir Piterbarg, Global Head Of Quantitative Analytics Group, BARCLAYS
Separately-Bookable Quantitative Finance Workshops

Friday 19 April 2013 (9am - 5pm)
Volatility & Correlation Modelling & Trading In Practice

Review Of Some Pressing Market Topics Building a good volatility surface Stochastic Local Volatility Models Calibration of local correlation Decomposition of Vega across strikes and maturities Joint calibration to SPX and VIX skews Options on double short ETF The Fundamentals Of Volatility The different kinds of volatility Market facts: volatility behavior and regimes Historical volatility estimation Implied volatility inter/extrapolation, Roger Lees moment formula Study of empirical behavior market facts: volatility behavior and regimes Historical volatility estimation Implied volatility inter/extrapolation, Roger Lees moment formula Study of empirical behaviour Volatility Models Review Black-Scholes model Local Volatility Model Heston model SABR model Bergomi model Stochastic Local Volatility Models Building A Good Implied Volatility Surface Requirements: accurate, arbitrage free, robust and smooth First step: model tting Second step: non parametric tting of residuals Examples and applications Local Volatility In Practice Obtaining the local volatility surface: calibration vs. Stripping formula Pricing with local volatility: nite difference and Monte Carlo Robust risk management: computing superbuckets Stochastic interest rates Volatility Arbitrage Frequency/phase arbitrage Dynamic skew arbitrage Volatility derivatives arbitrage Advanced topics Matching the volatility surface and the forward skew Impact of the skew on exotics: case study with barrier options and cliquets Delta hedge: calendar time and business time delta hedge Linking skew and uncertainty on historical volatility Application to volatility derivatives: links between vanilla option, VIX options and variance options Time based vs move based strategies Robust hedging: decomposing volatility risk across strikes and maturities Correlation Basics Misconceptions about correlation Measures of dependency: correlation, copula and more Correlation across assets and time Coupling random variables or processes? Coupling levels or returns? Modeling Correlation Estimating correlation; asynchronous and incomplete data Study of empirical facts nD Local Volatility model Stochastic covariance matrix modeling How to model stochastic correlation How to correlate jumps Pricing With Correlation Break-even points in n dimensions Correlation skew: basket options and CDO examples Spread options and steepeners Pricing Mountain Range options Hedgeability with options on the components Correlation Trading What can be locked and not locked Correlation swaps and options Correlation management Dispersion and diversication trades and arbitrage Bruno Dupire, Head Of Quantitative Research, BLOOMBERG
Bruno Dupire joined Bloomberg L.P. in 2004. Prior to this he has headed the Derivatives Research teams at Socit Gnrale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to t all option prices) in 1993 and subsequent stochastic volatility extensions. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine Hall of Fame of the 50 most inuential people in the history of Derivatives and Risk Management. He is the recipient of the 2006 Cutting edge research award of Wilmott magazine and was the recipient of the Risk Magazine Lifetime Achievement award for 2008.
Credit Collateral & Funding: CVA, DVA, FVA & Beyond

Introduction To CVA & DVA Unilateral CVA and unilateral DVA Bilateral Adjustment Problems with DVA: Wrong incentives and hedging First to default analysis ISDA Closeout choices Payout Risk Examples of CVA and DVA Rates, Commodities, Credit, Equity Collateral CSA and collateral Thresholds and Minimum transfer amounts Gap Risk Collateral and residual CVA/DVA Numerical examples: swaps and CDS Funding Treasury and different funding policies Margining costs for collateral Hedging and Funding Total price Recursive Nonlinear pricing problem Possible numerical techniques Can we dene FVA additively? Implications for the bank structure Restructuring Counterparty Risk Contingent CDS CDO type deals: Bistro, Score and Bonus Margin Lending Floating CVA and volatility direction Conclusions & References Damiano Brigo, Professor & Co-Head Of Mathematical Finance, IMPERIAL COLLEGE LONDON
Prof. Damiano Brigo is Chair and co-Head of Mathematical Finance at Imperial College London, consistently ranked among the top 10 world universities, and Director of the Capco Research Institute. Formerly Gilbart Professor at Kings and Managing Director of Fitch, Damiano published 70+ works in Mathematical Finance, Probability and Statistics, and eld reference books in interest rate and credit modeling. He is Managing Editor of the International Journal of Theoretical and Applied Finance. His interests include pricing, risk, credit, funding, and stochastic models for commodities and ination. Damiano holds a PhD in differential geometric stochastic ltering.
Latest Innovations In Multi-Curve Modelling & Discounting

The market interest rate quotes before and after August 2007 Ruling out arbitrage opportunities between same-tenor rates A simple credit model explaining a non-zero basis New market practices: - Construction of multiple LIBOR curves - OIS/CSA discounting A new denition of forward rate(s) The pricing of FRAs and interest rate swaps The new market formulas for caps and swaptions Building a multi-curve interest rate model: - The deterministic basis case - Do we need to model a stochastic basis? An example of multi-curve model: a multi-curve lognormal LIBOR market model (LMM) A general recipe for multi-curve modeling: - Example I: a multi-tenor multi-curve LMM - Example II: an extended Gaussian short-rate model The cross-currency case: - Pricing deals with collateral in another currency - Pricing cross-currency basis options Fabio Mercurio, Head Of Quant Business Managers BLOOMBERG
Fabio is head of Quant Business Managers at Bloomberg LP, New York. Previously, he was head of Financial Engineering at Banca IMI, Milan. At Bloomberg Fabio is responsible for the development and implementation of derivative pricing models across all asset classes. He is also teaching at a Master level at NYU. Fabio has jointly authored the book Interest rate models: theory and practice and published extensively in books and international journals, including 10 cutting-edge articles in Risk Magazine. Fabio holds a PhD in Mathematical Finance from the Erasmus University of Rotterdam.
LIBOR Market Models: Models, Algorithms & Practice

The LIBOR Market Model The standard LIBOR Market Model Prerequisits: - Basic Fixed Income Instruments, FRA, Caps/Floors, Swaps, Swaptions - Curve Stripping and Interpolation Volatility and Correlation Analytic Approximations and Basic Calibration Monte Carlo Methods and Numerical Schemes Foreign Currency Extension Valuation of Un-Collateralized, Collateralized and Uni-Lateral Collateralized Derivatives How to handle the money market basis Advanced Extensions & Calibration Of The Model Incorporating the Smile using Local Stochastic Volatility Models - Local Volatility (Displaced Diffusion) - Stochastic Volatility (Heston, SABR) Including CMS and CMS Spread Options - Parameter Averaging - Markovian Projection Application of the techniques and calibration incorporating CMS and CMS Spread Options Christian Fries, Head Of Model Development, DZ BANK
Christian Fries is head of model development at DZ Banks risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich. His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from http://www.christian-fries.de/nmath He is the author of Mathematical Finance: Theory, Modeling, Implementation, Wiley, 2007 and runs http://www.nmath.net.
Pricing Options With Early Exercise Opportunities American Monte-Carlo (Longstraff-Schwarz Regression) Bermudan Swaptions Lower Bounds and Upper Bounds Calculation Hedging: Greeks for Bermudan Swaptions Greeks Calculation & Equity / Interest Rate Hybrids Greeks Calculating Greeks using the Proxy Method - Examples for several options Calculating Greeks using Adjoint Methods - Examples: Application to Bermudan swaptions Hybrid Equity/Interest Rate Hybrids
Jrg Kienitz, Head Of Quantitative Analytics DEUTSCHE POSTBANK

Jrg Kienitz is primarily involved in the developing and implementation of models for pricing and hedging of complex derivatives structures and for asset allocation. He also lectures at the Universities of Oxford, Bonn and Duisburg. He also gives courses on basic and advanced modelling for nance and programming including yield curve construction, simulation techniques and option pricing. Jrg holds a Ph.D. in stochastic analysis and probability theory and authored several papers on mathematical and computational nance. He is the co - author of the books Monte Carlo Frameworks Frameworks in C++ and Financial Modelling which are published by Wiley.

08.00 08.35 08.40 Coffee & Registration Chairmans Opening Remarks
10.40 11.10 Morning Coffee 15.40
Mixing Signals For More Effective Portfolio Construction

Ron Guido, Senior Quantitative Research Analyst, MARSHALL WACE
Bio available to the left 11.50
Volatility & Correlation Are Not Constant

Examining The Role Of Convexity In Portfolio Construction
Jerry has a 25 year career in the nancial markets. He was instrumental in the establishment of the futures and options market in South Africa. He served as an Executive Member of the South African Futures Exchange. He also traded government bonds for a large discount house before being appointed Head of Equity Derivatives for Investec Ltd. In 1996, Jerry founded Peregrine Holdings Ltd. The company offered a range of services including stock-broking, futures and options broking, pension and fund structuring to South Africas large nancial institutions but its main niche was designing derivative strategies for institutional clients. In March 2001, Jerry founded 36 South Investment Managers Ltd, an absolute return fund manager specialising in global macro/volatility funds. In his current role, he is responsible for scanning the global markets looking for mis-valued assets. 16.20
Constructing Alpha Generation Strategies That Make Money

Understanding What Signals Work & What Signals Generate Money
Generating trading ideas is fairly easy but most strategies fail to perform and a hard critical look at any new candidate is essential. I will: Examine briey various standard approaches we follow when deciding if a trading system can work. Any practical reasons why it may fail. Explain a few ad-hoc, less standard, but very useful approaches Consider briey construction techniques for joining strategies together and some problems associated with them
Richard (Jerry) Haworth, Co-Founder, Principal & CIO 36 SOUTH CAPITAL ADVISORS
Evaluating The Role Of Quantitative Investments At Pension Fund Investment Managers

Value added in portfolio context Aspects of implementation and governance Future trends
Yoav Git, Senior Research Fellow, MAN INVESTMENTS
Chris Limbach, Advisor To The Chief Executive Ofcer PGGM INVESTMENTS

Chris Limbach joined PGGM, a Dutch asset manager for pension funds in the healthcare and social work sector with AUM exceeding 125 billion, in 2008 and was appointed Head of Investments of the Quantitative Strategies team in 2009. The Quantitative Strategies portfolio invests in alternative risk premiums, such as volatility, correlation, momentum and liquidity using an absolute return benchmark. He was also responsible for the initial development of the Strategic Tail Risk Management program at PGGM. In 2012 he took on the role of advisor to the CEO of PGGM Investments. He began his career as an equity derivatives trader at Optive. Chris Limbach studied Fluid Dynamics at the faculty of Civil Engineering at Delft University and earned his MBA from the University of Chicago. 12.30 Lunch
Yoav Git is currently a cross-sector senior research fellow at AHL and an associate research fellow at Imperial College. Before joining AHL in 2011 he was Head of Fixed Income research at Winton and prior to this he was Head of research & development in Israel at Brevan Howards. He started his career in industry as a risk quant at Credit Suisse in 2000. Before this he was a research fellow and a lecturer in probability & statistics at Cambridge University.
The End Of Diversication

Since 2007 it has been apparent that correlations are far higher than in previous regimes, both cross market and cross asset Why is this happening? It means that it is almost impossible to diversify risk and deliver smooth portfolio returns. We show that the universal efforts by portfolio managers to diversify and manage risk is in fact leading to this correlated regime Essentially, diversication only works as a strategy when not everyone is doing it When most investors hold similar portfolios, and reduce overall exposures in high risk times, all market risks become connected We illustrate the simultaneous rise of diversication and correlation since the 1950s But all is not lost! There are ways to manage this problem
09.20
How To Use Language Recognition Algorithms To Analyse News Flow & Improve Systematic Trading Strategies
Company news ow has an undeniable impact on stock prices. It can even represent the most important element dening a stocks annual performance News items are fundamental and qualitative in nature, consequently academics and Quant houses have struggled to investigate news ow from a systematic perspective We have used the Thomson Reuters language recognition algorithm to test various ideas and try to gure out if news ow can be used for longer-term investment by Quant Managers to generate alpha or manage risk We believe that the strategies we have developed could be implemented by Quant managers and help improve the overall performance of their investment process Amongst the numerous tests conducted, the key results are those strategies based on various holding periods, on news momentum, news signals for turnaround companies, conditioning of signals for short-sellers, sector allocators and on ways to improve the overall efciency of Quant Factor Models
13.50
Stressing About Risk
Financial integration and globalisation has led to contagion of risk across asset classes. Investors have traditionally focused on VIX as a measure of risk however VIX centres on equities and is just one dimension of risk. This fails to capture risks investors face from links with other asset classes. We develop a global cross-asset risk index which provides a holistic view of overall risk within the economy. We focus on Equity, Sovereign and Corporate Bonds, FX and Commodity asset classes. The Macquarie Financial Risk Index (MFRI) provides a useful framework to understand risk and its drivers throughout global nancial markets.
Marco is Global Head of Equity Quant Strategy team. Marco joined J.P. Morgan in May 2007, after working previously at Madoff Securities in London, where he was a senior trader responsible for managing the companys proprietary long/short equity book according to a fundamental and systematic framework. Prior to that, Marco worked in a similar role at Jaguar Funds in Australia and Mako Global, trading derivatives in Europe and Asia. Marco holds a BSc in Finance from HEC Brussels. Marco and team have been top ranked by investors in numerous surveys since 2008 and were ranked #1 Quant team in Europe in the 2008 & 2010 Institutional Investor polls and #2 in 2009 and 2011.
Marco Dion, Global Head Of Equity Quant Strategy JP MORGAN
The Global Quantitative Research group comprises 14 analysts, with teams operating in all the major equity market regions. They aim to produce cutting-edge, topical and actionable research focusing on alpha, risk and portfolio construction issues. The regional teams work closely together, aiming to build a common global knowledge base of techniques, backed up with specic local expertise where required. In addition, the group undertakes custom projects for clients which assist with all aspects of the investment processes. Before joining Macquarie, Gurvinder spent 8 years at Citi as a Quantitative analyst where he helped the team to a number 1 ranking throughout Europe. 14.30
Gurvinder Brar, Head Of Global Quantitative Research MACQUARIE BANK
Jessica James joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Before her career in nance, James lectured in physics at Trinity College, Oxford. Her previous signicant publications include Interest Rate Modelling (Wiley), and Currency Management (Risk books). She is on the Board of the Journal of Quantitative Finance, and is a Visiting Lecturer at Cass Business School. She has also been involved with the Institute of Physics as a member of their governing body and a member of their Industry and Business Board. 17.00
Jessica James, Head Of The FX Quantitative Solutions Team COMMERZBANK
Quant ThinkTank II: Quantitative Investment In A Risk-Averse World

How Have The New Demands Of Risk-Averse Investors Impacted Quantitative Investment Strategies?
Moderator: Arthur Berd, Founder & Chief Executive Ofcer,
GENERAL QUANTITATIVE
10.00
New Techniques In Quantitative Liquidity Risk Measurement & Management

Attilio Meucci, Chief Risk Ofcer, KEPOS CAPITAL
Attilio Meucci is adjunct professor at the Master in Financial Engineering - Baruch College - CUNY, where he teaches the intensive Advanced Risk and Portfolio Management bootcamp. Previously, Attilio was the head of research at ALPHA, Bloomberg LPs portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co. Concurrently he taught at Columbia, NYU-Courant, and Bocconi University. Attilio is the author of Risk and Asset Allocation and numerous other publications in journals. He holds a PhD in Mathematics from the University of Milan. 15.10 Afternoon Tea
Quant ThinkTank I: Integrating Quant & Fundamental Approaches

Combining Quantitative & Fundamental Approaches To Optimise Portfolio Construction & Risk Management In A Risk-Averse, Cost-Constrained Environment
Michaels responsibilities include the application of risk management disciplines within a portfolio construction framework. He is also the manager for several systematic investment products. Michael joined from Fidelity where he was a member of the quantitative research group, and manager for the global dividend yield fund. Prior to Fidelity, Michael was part of the global Risk and Quantitative Group at Blackrock, helping oversee more than $200 billion in actively managed equity strategies across the UK, Europe and Emerging Markets. Michael holds a PhD from LSE in quantitative nance.
General Quantitative LLC is a diversied nancial services rm offering a complementary range of products. Dr. Berd is the Editor-in-Chief of the Journal of Investment Strategies, an international refereed journal focusing on the rigorous treatment of modern investment strategies. He is also the founder and coordinator of the quantitative nance section of www.arXiv.org, a global electronic research repository. An author of more than 30 publications and a frequently invited speaker at major industry conferences, Dr. Berd edited the book Lessons from the Financial Crisis (RiskBooks, 2010) which gives unique quantitative insights into many aspects of the ongoing crisis, and contributed chapters to several other books on nance. Arthur is a charter member of the CFA Institute. He holds a Ph.D. in physics (with a Minor in business) from Stanford University.
Philippe Ithurbide, Global Head Of Research, AMUNDI

Philippe Ithurbide joined Amundi in 2010. Previously he worked at Caisse de Dpt et Placement du Qubec (Montral). A member of the Executive Committee and of the asset allocation committee he was, in turn, Executive Vice President in charge of xed income, currency and credit from 2007 to 2009, and of multi-asset class overlay strategy subsequently. Prior to that, he worked for Socit Gnrale as head of research in foreign exchange, xed income and commodities, having joined as chief economist. Member of the board of SGs pension fund (2000-2006), he was in charge of asset allocation. Philippe Ithurbide started his career as teacher/researcher at the University of Bordeaux. For more than 20 years he taught at universities in France, Spain, Colombia and the US. He has published theoretical papers on international nance and books such as The economic status of gold, Protectionism and exchange rate regime, or French rms and foreign exchange risk: dollar versus EMS.
Michael Kollo, Head Of Quantitative Research & Risk RENAISSANCE ASSET MANAGERS
Ron Guido, Senior Quantitative Research Analyst MARSHALL WACE
Ron Guido previously held senior research positions at Fidelity Investments and State Street Global Advisors where his major responsibilities included the development of global quantitative equity strategies. Ron was also a lecturer in nance at the University of New South Wales, Australia where he taught nancial econometrics and quantitative investment management. He holds a PhD in Finance from the University of New South Wales.
Global Derivatives Is The Conference To Attend For Practitioners In The Quantitative Finance World.
Vladimir Lucic Head Of Equity Derivatives Quantitative Analytics, BARCLAYS
Chris Limbach, Assistant To The Chief Executive Ofcer PGGM INVESTMENTS Bio available to left
17.40 17.45 Chairmans Closing Remarks End Of Summit
Marco Dion, Global Head Of Equity Quant Strategy, JP MORGAN

Bio available above
Main Conference: Day 1 - Tuesday 16 April 2013

08.00 08.30 08.35 Registration & Coffee Chairmans Opening Remarks 09.15 09.55
The FVA Debate
Guest Academic Address
Global Economic Outlook

Examining The Future Outlook For Global Markets
David Folkerts-Landau, Chief Economist &
Member Of The Group Executive Committee
Previously David was Global Head of Research (Equities and Fixed Income) at Deutsche Bank. Before joining Deutsche Bank in 1997, David was the division head of International Capital Markets surveillance and nancial markets research at the International Monetary Fund (IMF). He was professor of Economics and Finance at the University of Chicagos Graduate School of Business before joining the IMF. David holds a PhD in Economics from Princeton University. He is the author of several books and numerous articles on nancial economics.
Extending Black-Scholes-Merton for counterparty credit risk and risky borrowing The key issue to consider when deciding whether to charge FVA Accounting vs. economic arguments
Industry Thinktank (with electronic polling) Assessing How Regulatory Reform Is Impacting Derivatives Markets & The Implications For Business Models & Protability
Michael Hintze is Chairman of the CQS Executive Committee, Portfolio Manager of the CQS Directional Opportunities Fund and CIO of the CQS Convertible and Quantitative Strategies Fund. Prior to establishing CQS, Michael was Managing Director in the Leveraged Funds Group at CSFB. Before this, he was Managing Director and European Head of Convertibles at CSFB. Before joining CSFB, Michael worked at Goldman Sachs for 12 years in a variety of roles including Head of UK Trading and Head of European Emerging Markets Trading. Prior to this, Michael worked for Salomon Brothers as a Fixed Income Trader trading Yankee Bonds. Michael holds an MBA from Harvard Business School and received a Doctor of Business and an Honoris Causa from the University of New South Wales.
Regulation & The New Financial Order
John Hull, Maple Financial Professor Of Derivatives & Risk Management, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO
Michael Hintze, Chief Executive Ofcer & Senior Investment Ofcer, CQS
DEUTSCHE BANK
John Hull is an internationally recognized authority on derivatives and risk management. He was one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the IAFE. He has written three books: Risk Management and Financial Institutions (now in its 3rd edition), Options, Futures, and Other Derivatives (now in its 8th edition) and Fundamentals of Futures and Options Markets (now in its 7th edition). The books have been translated into many languages and are widely used in trading rooms and classrooms throughout the world. Dr. Hull is co-director of Rotmans Master of Finance program. He has taught at York University, University of British Columbia, New York University, Craneld University, and London Business School.
Rama Cont is also CNRS Research Scientist at Universite Paris VI and partner at Finance Concepts LLC. His research focuses on the modelling of extreme market risks, systemic risk and liquidity risk. He has previously held teaching and research positions at Ecole Polytechnique, Columbia University, Princeton University, HEC and Universite de Paris VI. He has co-authored the bestselling monograph Financial Modelling with Jump Processes (2004) & was Editor in Chief of the Encyclopaedia of Quantitative Finance (2010). He was awarded the Louis Bachelier Prize for his research on mathematical modelling in nance.
Rama Cont, Chair In Mathematical Finance & Professor Of Mathematics, IMPERIAL COLLEGE LONDON
Main Conference: Day 1 - Tuesday 16 April 2013

Mark White, Senior Vice President, Capital Management & Optimization, BANK OF MONTREAL
Mark White is accountable for the strategic management of enterprise capital for BMO and is the leader of a team responsible for BMOs capital management and planning activities. He is also responsible for managing capital issues with regulators and rating agencies and for overseeing capital issuances. He is co-leader of BMOs internal capital adequacy assessment process and regularly presents to the BMO Board. Mark joined BMO from Canadas Ofce of the Superintendent of Financial Institutions (OSFI) and was OSFIs Assistant Superintendent, Head of Regulation Sector, and a member of the OSFI Executive. He was OSFIs representative on the Basel Committee for Banking Supervision and chaired the Basel Committees Risk Measurement Group. Mr. White began his career at Fasken Martineau DuMoulin as a business law lawyer. He went on to become Senior Vice President, Legal Director and Chief Counsel at AT&T Capital before joining Ernst & Young. In 2001 he joined RBC Capital Markets, where he was Managing Director and Global Head of the Strategic Transactions Group.
16.40
14.15
Consistently Modelling Joint Dynamics Of Volatility & Underlying To Enable Effective Hedging
Existing volatility models and their limitations Volatility regimes observed in equity markets Implications for hedging Introduce the beta stochastic volatility model Emphasize intuitive and robust calibration of the beta SV model Present illustrations of the beta SV model
Managing CVA & DVA For Secured Credit Portfolios

Motivation: secured CVA and DVA risk mitigation for credit FVA, DVA and FVO DVA hedging and managing the balance sheet Credit options revisited: impact of the choice of ltration CVA in ones own natural ltration CVA in the enlarged ltration Wrong-way risk vs gap risk Impact of credit mitigants: initial margin, margin thresholds, MTAs, ...
Artur Sepp, Vice President, Equity Derivatives Analytics BANK OF AMERICA MERRILL LYNCH
10.35
Morning Coffee
Stream A: New Volatility Modelling & Trading Techniques

11.00
Artur Sepp is a Vice President in the equity derivatives analytics at Bank of America Merrill Lynch in London, where he is developing quantitative models for equity volatility and structured products. Prior to joining the equity group in 2009, he worked with the credit derivatives group at Merrill Lynch in New York focusing on quantitative models for multi- and single name credit derivatives and hybrid products. Between 2006 and 2007, he worked in the equity derivatives group at Bear Stearns in New York. He holds a PhD in Probability and Mathematical Statistics from University of Tartu (Estonia).
Youssef Elouerkhaouis group supports all aspects of product development and modelling across desks, this covers: credit trading, correlation trading, CDOs, credit exotics and emerging markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Derivatives Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He holds a PhD in Mathematics from Paris-Dauphine University.
Youssef Elouerkhaoui, Managing Director, Global Head Of Credit Derivatives Quantitative Research, CITI
17.20
14.55
Arbitrage-Free SVI Volatility Surfaces
History of SVI Equivalent representations How to eliminate calendar spread arbitrage Simple closed-form arbitrage-free SVI surfaces How to eliminate buttery arbitrage How to interpolate and extrapolate
Stochastic Stock Price Models & All That: Densities, Pricing Functions & Smile Asymptotics

Jim Gatheral, Professor, Department Of Mathematics BARUCH COLLEGE, CUNY

Jim Gatheral mostly teaches courses in the Masters of Financial Engineering (MFE) program. Prior to this, he was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute of the Mathematical Sciences, New York. Prior to 2005 he headed the Equity Quantitative Analytics groups at Merrill Lynch. Over his long career in the nancial markets, he has been involved at one time or other in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst. Jim has a PhD in theoretical physics from Cambridge University. His research focus is on volatility modelling and modelling equity market microstructure for algorithmic trading. His best-selling book, The Volatility Surface: A Practitioners Guide (Wiley 2006) is one of the standard references on the subject of volatility modelling.
Stochastic asset price models Stochastic volatility models, examples include the Hull-White model, the SteinStein model and the Heston model Asymptotic behaviour of the realized volatility and the stock price density in stochastic volatility models Asymptotics of call and put pricing functions Model-free asymptotic formulas for the implied volatility
Examining The Latest Advances In Calculating CVA Across The Whole Book
Speaker tbc 15.35
Pricing Credit Default Swaps With Bilateral Value Adjustments

Presenting a three-dimensional extension of the structural default model with rms values driven by correlated diffusion processes Developing Greens function based semi-analytical methods for solving the forward calibration problem and backward pricing problem Analysing bilateral counterparty risk for credit default swaps and evaluating the corresponding credit and debt value adjustments Evaluating value adjustments in realistic cases
Archil Gulisashvili received his Ph.D. degree and Doctor of Sciences degree from Tbilisi State University. Currently he is a Professor of Mathematics at Ohio University. Prior to joining Ohio University, he held visiting positions at Boston University, Cornell University and Howard University. His research interests include nancial mathematics (stochastic volatility models, stock price densities, option pricing functions, smile asymptotics), and also Schrdinger semigroups, Feynmann-Kac propagators and Fourier analysis.
Archil Gulisashvili, Professor Of Mathematics OHIO UNIVERSITY
18.00
11.40
Pricing Basket & Spread Options Under Local Correlation

Jesper Andreasen, Global Head Of Quantitative Research DANSKE BANK
Jesper Andreasen heads the Quantitative Research Department at Danske Bank in Copenhagen. Prior to this, Jesper has held positions in the quantitative research departments of Bank of America, Nordea, and General Re Financial Products. Jespers research interest include: term structure modeling, volatility smiles, and numerical methods. In 2001 Jesper received Risk Magazines Quant of the Year award.
Forecasting Volatility, Correlation & Other Dynamic Metrics: A New Look At The Popular Econometric & Statistical Methods
Fitting the model structure to the data features Censored observations and other limitations Multi-step vs. coherent estimation methods
Arthur Berd, Founder & Chief Executive Ofcer GENERAL QUANTITATIVE

Bio available on pg. 7
Prior to his current role, Alex Lipton was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group; he has also worked at Credit Suisse, Deutsche Bank and Bankers Trust. Previously, Alex was a Full Professor of Mathematics at the University of Illinois at Chicago and a Consultant at Los Alamos National Laboratory. His current interests include industrial strength derivative pricing including capital calculations, as well as technical trading strategies. In 2000 Alex was awarded the rst Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of four more, including The Oxford Handbook of Credit Derivatives (jointly with Andrew Rennie). In 2011 Alex became a patron of The 14-10 Club at the Royal Institution.
Alex Lipton, Co-Head Of Global Quantitative Group BANK OF AMERICA MERRILL LYNCH & Visiting Professor IMPERIAL COLLEGE
16.15 Chairmans Closing Remarks Champagne Roundtables Welcome Drinks 16.40
Afternoon Tea
18.40 18.45 18.55
12.20
Latest Advances In Overcoming The Computational Challenges Of CVA
Towards The Universal Model: The Challenges & Benets Of Enriching A Stochastic/ Local Volatility
MUREX
13.00 14.15 Lunch + Meet The Speaker Lunchtables 11.00
Stream B: The Latest Innovations In CVA
Luca Capriotti, US Head Of Quantitative Strategies Global Credit Products, CREDIT SUISSE
Trade Economics In Derivative Pricing

The elements of pricing derivatives: Base value, CVA, FVA, OIS, Capital, Margin CVA & Capital under Basel III / CRD IV FVA and Margin Costs Credit Risk vs. Liquidity Risk
Decoding The Volatility Smile
Luca is currently focusing on modeling in the areas of Flow and Structured Credit, Risk Management of a Banks own credit, and Counterparty Credit Risk Management. Previous to his current role, he worked in Commodities in New York and London, and was part of a cross-asset modeling R&D group in the London ofce. Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California. He has been awarded the Directors fellowship at Los Alamos National Laboratory, and the Wigner Fellowship at Oak Ridge National Laboratory. Luca holds a Ph.D. in Condensed Matter Theory, from the International School for Advanced Studies, Trieste.
William McGhee, Head Of Hybrid Quantitative Research, RBS
William McGhee is a Managing Director and Head of Hybrid Quantitative Research at the Royal Bank of Scotland Group in London. William started his career at JP Morgan as a member of the Derivatives Research Group focusing on Foreign Exchange. He went on to run the FX Product Development team at Deutsche Bank and the FX Quantitative Strategy group at Citi.
Andrew Green, Head Of Quantitative Research - Credit Risk LLOYDS BANKING GROUP
17.20
14.55
Dr Andrew Green has been involved in CVA eld since 2003. He is currently responsible for the modelling of CVA and unsecured funding costs and is also interested in asset-liability models. Prior to joining Lloyds in 2008, Andrew spent twelve years at Barclays Capital. He headed the DCRM quant modelling team from its foundation in 2005 and previously worked in quantitative roles in both xed income and equity derivatives. Andrew has a DPhil in Theoretical Physics from the University of Oxford.
DVA, Funding & Own Credit Adjustments

Dynamic Hedging Of Volatility Derivatives

Co-calibration of Euro STOXX options with VSTOXX futures and options in a rich regime switching model Calibration stability: model parameters versus hedge ratios The use of virtual instruments to stabilize the calibration Back-testing of robust dynamic hedging strategies
DVA and funding benets FCA and funding costs FCA as hedge error of a semi-replication strategy Regulatory treatment of DVA and own credit adjustments Derivative assets, funding liabilities and the balance sheet
11.40
Christoph Burgard, Global Head Of Equity Derivatives,

Securitisation Derivatives & Credit-Counterparty Modelling,
Christoph Burgard is a Managing Director and Global Head of Equity Derivatives, Securitisation Derivatives and Credit-Counterparty Modelling at Barclays Capital. After obtaining a PhD in particle physics from Hamburg University he was a fellow at CERN and DESY before joining Barclays Capital in 1999.
CVA Building Blocks: Vanishing Options With Smile

Correlated Credit Contingency Stochastic information time change Asset response to credit information Volatility smiles Convexity corrections
BARCLAYS
Philippe Henrotte is one of the founding partners of ITO33, a company which designs sophisticated derivatives pricing software for nancial institutions. He has acted as founder and director of both Russian Opportunities Fund Limited, a hedge fund targeting the Russian capital markets, and ZAO Eurotek, an independent Russian gas producer. Philippe Henrotte is an Afliate Professor at the Finance and Economics Department of HEC Paris. He holds a PhD in Finance from the Graduate School of Business, Stanford University. His research interests focus on risk management and the hedging and pricing of derivatives in incomplete markets.
Philippe Henrotte, Co-Founder & Partner, ITO33
15.35
Price Jumps & Information Jumps: Financial Modelling With Lvy Information

Peter Jaeckel received his D. Phil. in Physics from Oxford University in 1995. After a short period in academic research, he migrated into quantitative analysis and nancial modelling in 1997, when he joined Nikko Securities before moving to NatWest. In 2000 he moved to Commerzbank Securities product development group, and co-headed the team from 2003. From 2004 he was with ABN AMRO as Global Head of Credit, Hybrid, Ination, and Commodity Derivative Analytics before starting OTC Analytics, an independent consultancy. Since 2010 he has been the Deputy Head of Quantitative Research at VTB Capital. Peter Jaeckel is the author of the book Monte Carlo methods in nance (2002) and a series of articles on nancial mathematics and derivatives models some of which can be found at http://www.jaeckel.org.
Peter Jaeckel, Deputy Head Of Quantitative Research, VTB CAPITAL & Managing Director, OTC ANALYTICS
18.00
Efcient Numerical Techniques In CVA Valuations
Practical numerical approaches in CVA Technical and numerical enhancement when dealing with portfolios Optimisation in the RN multi-factor calibration process CVA/DVA hedging considerations
How to model information jumps in a mathematically cogent way How to manage the risks associated with price jumps A novel approach to asset pricing with information jumps Lvy information processes, a exible tool for the modelling of communication channels in nancial markets Information-based asset pricing models New insights on the modelling and risk management of stochastic volatility
12.20
Dong Qu is the global head of quants at UniCredit. He previously worked at banks including HSBC, Nikko and Santander. His main work has been on the quantitative pricing and hedging models for structured derivative business across mayor asset classes, including equity, xed income, credit, FX and property. He is also experienced in many practical aspects of the derivative business, in particular sound and efcient management of derivative products within trading and risk infrastructures. He has a PhD in Statistical Optics from Imperial College London.
Dong Qu, Global Head Of Quants, UNICREDIT
Bounding Wrong-Way Risk In CVA Calculation

Paul Glasserman
Jack R. Anderson Professor Of Business
18.40 18.45 18.55 Chairmans Closing Remarks Champagne Roundtables Welcome Drinks
COLUMBIA BUSINESS SCHOOL
Lane Hughston, Visiting Professor, Department Of Mathematics UNIVERSITY COLLEGE LONDON
Lane P. Hughston received his doctorate in mathematics from the University of Oxford, where he was a Rhodes Scholar. He has held appointments at Imperial College London, at Kings College London, and at Merrill Lynch, where he was Director of Derivative Product Risk Management. Professor Hughston belongs to the London Mathematical Society, the Bachelier Finance Society, and the American Finance Association. He is a Fellow of the Institute of Mathematics and its Applications, and a lifetime member of the American Mathematical Society. Professor Hughston is Editor-in-Chief of International Journal of Theoretical and Applied Finance.
Paul Glasserman is a visiting scholar at the Federal Reserve Bank of New York, and he currently chairs the Education Committee of PRMIA, the Professional Risk Managers International Association. His publications include the book Monte Carlo Methods in Financial Engineering, which received the 2006 Lanchester Prize, and he is also a recipient of Risks 2007 Quant of the Year Award.
Stream C: Capital Optimisation & The New Regulatory Requirements

11.10
13.00
Lunch + Meet The Speaker Lunchtables
Examining The Market Impact Of New Regulatory Reforms

Rama Cont, Chair In Mathematical Finance & Professor Of Mathematics IMPERIAL COLLEGE LONDON
16.15
Afternoon Coffee
Main Conference: Day 1 & 2 - 16 & 17 April 2013

11.40
Claudia Yastremiz, Director, QA Exposure Analytics, BARCLAYS
A Road Map For Capital Planning & Optimization Under Basel III

Mark White, Senior Vice President, Capital Management & Optimization BANK OF MONTREAL
Bio available to the left
The regulatory requirements under Basel III as they affect derivatives, OTC and centrally cleared The relationship of market risk, counterparty credit risk, credit valuation adjustment and debit valuation adjustment Capital minimums and buffers (Pillar 2; capital conservation; SIB) Allocating capital to drive behaviours and improve business Capital optimization for derivatives, internal and external ideas
Claudia Yastremiz is currently a Director and co-head of the Exposure Analytics/Trading Book Capital team in Quantitative Analytics at Barclays, in charge of, amongst other things, IMM exposure calculations for Risk Management and Regulatory Capital calculations for all asset classes, and is involved in implementation of Basel III methodology. She has a background as an FX and an Equity Derivatives quant at Barclays, and previously has worked as an Equity quant at Morgan Stanley, among other positions.
Jrgen Hakala, Managing Director EFG FINANCIAL PRODUCTS
Jrgen works for EFG Financial Products, the derivatives house of EFG, where he is involved in modelling and nancial engineering for all asset classes. His interests are numerical methods in mathematical nance, in particular multi asset and hybrid modeling. His initial interest was foreign exchange, where he is co-editor of a textbook about FX derivatives.
18.40 18.45 18.55
Chairmans Closing Remarks Champagne Roundtables Welcome Drinks
18.00
Wrong Way Risk In FX: Building Consistent Multi-Currency Framework For OIS / CVA / DVA
12.20
Stream D: Advanced Pricing, Hedging & Trading Of FX Derivatives

11.00
Understanding cross-currency basis and its effect on collateralized deals, incorporating FX wrong way risk in a multicurrency curve framework and CVA/DVA calculations.
Artem Tsvetkov, MRMB Trading Quantitative Analytics ING BANK
CENTRAL CLEARING MASTERCLASS

Examining The Progress Towards Central Clearing & The Implications For The Market: What Are The Advantages & Disadvantages Of Moving To Exchanges?
Ulrich Karl has global responsibility for managing the business impacts of regulatory change. He manages the CVA capital charge implementation for Global Markets and is active in several industry working groups, e.g. the ISDA Risk & Margin Regulatory Implementation Committee and groups around new regulation, CCP risk and capital. Ulrich joined HSBC in 2006 as a project manager to implement Basel II for counterparty risk and later worked as a senior manager looking after new regulation for counterparty risk, risk in central counterparties, stress testing and the IMM model. He was involved in industry discussions with RMMG about the CVA capital charge, the CCP capital framework and other new counterparty risk related measures in Basel III. He also sat on the risk committees of LCH SA and CME Clearing Europe.
Session 1: 40 minutes
Examining Currency Hedging For Bond & Equities Investors

Examine the impact of FX hedging on foreign bonds and equities investments Look at hedging of EM equities Compare active versus passive hedging of FX risk Discuss proxy hedging via FX 18.40 18.45 18.55
Artem Tsvetkov has graduated and received his PhD in physics. After a few years of scientic career at the Lebedev Physical Institute and the universities of Groningen and Nijmegen, he joined ABN AMRO in 2004. Since 2008, he is with MRM Trading Quantitative Analytics at ING Bank.
Chairmans Closing Remarks Champagne Roundtables Welcome Drinks
Ulrich Karl, Director, Global Markets, HSBC
Saeed started his career at Lehman Brothers. He worked on the FX desk developing systematic trading models for both G10 and EM and was part of the team who developed the MarQCuS suite of models. He was also responsible for a systematic FX prop trading book and conducted research around high frequency FX including economic events. He currently works at Nomura as a Vice President in Quantitative Strategy, also in FX, developing their model infrastructure and also covering gold. He has been quoted in numerous articles on FT, WSJ and ZeroHedge. Saeed is also a co-founder of Thalesians, a nance discussion group, which meets in London, New York and San Francisco.
Saeed Amen, Vice President, Quantitative Strategy, NOMURA
Main Conference: Day 2 Wednesday 17 April 2013

08.00 Registration & Coffee
11.40
13.00 14.15
Examining The Impact Of Clearing For Buy Side Firms In The Light Of Higher Margin Requirements & Reduced Flexibility
Speaker tbc 14.55
Session 2: 40 minutes
Modelling Volatility Between A Currency Pair When Smile Interpolation Breaks Down Due To Pegging Or Other Central Bank Intervention
Speaker tbc 12.20
Stream A: New Advances In Modelling Hybrid Products

08.35 08.40 Chairmans Opening Remarks
Pricing Quantos Accurately: A Model Agnostic Approach
Developing Risk Models To Jointly Model Equity, Interest Rates & Credit Risk Together & Accurately Capturing The Dependency Between The Three
Evaluating the hybrid nature of contingent convertibles: equity, rates, credit or ... Including multiple factors in a valuation model for hybrid securities The foundations for a straight forward valuation and risk model: blending equity, rates and credit together
Moty Spiegelglas, Senior Quantitative Analyst, SUPERDERIVATIVES
What Has Been Missed By The Finance Industry

What has been missed What is still being missed Remedies
Nasir has been a partner at Nonlinear Ltd since Oct 2009. Nonlinears focus is on practical approaches to areas largely missed by the linear paradigm of modern nance. Prior to Nonlinear Nasir was Global Head of FX Trading at Credit Agricole Corporate and Investment Banking (Calyon). Prior to Calyon Nasir was Global Head of FX & Precious Metals Derivatives at Commerzbank AG plus a member of its Alternative Investments Committee (COMAS). Previous roles have included Head of Currency Derivatives Trading at ING Bank NA, Head of Equity and Fund Derivatives Financial Engineering at Rabobank, Emerging Markets Derivatives Trader at Deutsche Bank AG, and Quantitative Analyst specialising in cross asset nancial derivatives in the Global Options and Relative Value and Arbitrage Group at CSFB, while also serving as Risk Manager for CSFBs Leveraged Funds business.
Nasir Afaf, Partner, NONLINEAR LTD
Moty (Mordechai) Spiegelglas obtained his PhD from Tel Aviv University in Theoretical Physics on Topological Aspects of Field Theories. He has done post-doctoral research in String Theory at the Institute of Advanced Study in Princeton, Rutgers and Technion, where he established the G/G Topological Feld Theory. In addition to few years of work on Tracking and Multi-sensors data fusion, Moty has held various Quantitative Research roles over the last 19 years (11 years at SuperDerivatives, preceded by consulting positions at numerous trading groups). At SuperDerivatives Moty is involved in the Quantitative Activity, concentrating on Foreign Exchange and Commodities issues.
13.00 14.15
The Fair Value Of FX Options

15.35
Fuelled By The Increasing Challenges Of A Changing Regulatory Environment We Dissect The Eternal Analytics Dilemma: Performance Versus Accuracy
MUREX
16.15 16.40 Afternoon Coffee
Jessica James, Head Of The FX Quantitative Solutions Team COMMERZBANK Bio available on pg. 7
14.55
On average, are FX options good value? ie, is the average value of the payout to an option more, or less, or similar to, the average value of the premium paid? This can only be answered by sourcing historical data on option volatilities, and comparing premium and payout throughout history There is enough publicly available data to make this possible We show that different tenors of options behave very differently from each other, with the long dated options providing much better value
Jan De Spiegeleer earned an extensive knowledge of derivatives pricing, hedging and trading while working for KBC Financial Products in London, where he was managing director of the equity derivatives desk. He also ran his own market neutral statistical arbitrage hedge fund (EQM Europe) after founding Erasmus capital in 2004. Prior to his nancial career, Jan has spend ten years in the Belgian Army during which he also served in Iraq. He holds a Msc. in Civil Engineering (Royal Military Academy, Brussels) and an MBA (University of Leuven). Together with Wim Schoutens, he has authored The Handbook of Convertible Bonds (Wiley 2011) and Contingent Convertible (CoCo) Notes (Euromoney 2011).
Jan de Spiegeleer, Head Of Risk Management JABRE CAPITAL PARTNERS
09.20
Examining The Impact Of Forward Skew & Stochastic Rates In Autocallable Products
Introduction Impact of stochastic rates Impact of forward skew Model risk management and mitigation
Modelling FX Volatility When Conventional Smile Models Break Down Due To Pegging Or Other Central Bank Intervention
Jump diffusion models for sudden devaluation or appreciation of managed currencies Calibration to extreme volatility smiles
CVA Capital Charge: Between Market & Counterparty Risk

The CVA capital charge Merging market and non-market approach: VaR and counterparty risk Specic risk and rating migration Proxy of market information (Generic spreads, RR) CDS market data and default information
Simon Dean, Quantitative Analyst, BNP PARIBAS
Simon Dean works in the Risk Methodology and Analytics team at BNP Paribas. Simon specialises in CVA and the regulatory CVA capital charge, although he works on risk methodology across all asset classes more generally. Simon holds a Ph.D. in experimental particle physics and spent a six-year postdoctoral research career at University College London hunting the Higgs boson before joining BNP Paribas in 2010.
Within Quantitative Research Davids main interests are pricing and hedging of short and long dated FX derivatives, hybrids, counterparty risk and dynamic models of credit risk. Since 1998 David has worked as a quantitative analyst on FX, hybrid FX interest rate and Credit products. Before that David was a postdoctoral theoretical physicist in Canada and Oxford for 2 years, after receiving a DPhil in Theoretical Physics from Oxford University.
David Shelton, Managing Director, Head Of The Global FX Quantitative Group, BANK OF AMERICA MERRILL LYNCH
D. Enes has a background in Mathematics and a Masters in Financial Mathematics at the Technical University of Lisbon. She started working as derivative quant and trader at Bank BPI (Lisbon, 2007). After a short period in an international consulting rm, she moved to Madrid and is currently working at the Equity Model Validation Group at Santander. Her main interests are in equity and xed income derivatives, including multi-factor models.
Diana Enes, Senior Quantitative Analyst, Equity Model Validation Group, SANTANDER
10.00
Expansion Formulas For The Best-Of Option On Equity & Ination

Hybrid modelling Malliavin calculus Black Scholes type approximation formula Numerical experiments
15.35
Pierpaolo Montana, Head Of CVA & Risk Pricing Methodologies BNP PARIBAS
Developing A Coherent Model For Correlation Across Multiple FX Combinations

Speaker tbc 16.15 16.40 Afternoon Coffee 10.40
Julien Hok, Quantitative Analyst SANTANDER
Pierpaolo Montana works in the Risk Methodology and Analytics team at BNP Paribas where he heads the team responsible of CVA and risk pricing methodologies. After having thought Financial Mathematics in Paris and Rome for six years, he move to the nancial industry in 2004. From 2004 to 2007 he worked in Bank of Italy as quant in the Banking Supervision Department. After almost 4 years in London as head of pricing model validation team in an investment bank in London, he moved in his current position in 2010.
Julien holds a Masters and PhD in mathematical nance from Pierre et Marie Curie University and Ecole Polytechnique (Paris, France). He is currently an equity derivatives quant at Santander Global Banking & Markets.
Morning Coffee
New Practical Techniques For Pricing Cross-Currency Swaps With Multi-Currency Collateral
Review of new world of collateralised funding and high capital charge Consideration of adaption in product features (e.g. rebalancing notionals, mandatory termination) Consideration of emerging markets peculiarities (e.g. domestic swaps with USD or EUR CSA) Theoretical setup for pricing in new world (forecasting, domestic CSA discounting, USD CSA discounting) Enhancements to models (due to effect of volatility and correlation) Practical realities 11.10
Stream A: Innovations In Pricing, Hedging & Trading Equity Derivatives Market Update: Attractive Trading Opportunities & Current Investor Focus Areas In Equity Volatility
Kaya Endo, European Head Of Equity Derivatives Strategy, CITI
Kaya Endo is Citis European Head of Equity Derivatives Strategy based on the trading oor in London. Her team provides insight to derivative markets through analyses and actionable trade ideas based on current market dynamics, macroeconomic events and fundamentals. The team also places a strong emphasis on bespoke analyses and creation of tools for investors.
17.20
CDS Pricing Under Basel III: Capital Relief & Default Protection
Basel III and Basel 2.5 have capital charges that can be mitigated by CDS 3-Leg CDS model: premium; protection; capital relief No-arbitrage, replication, market completeness Portfolio effects, regulatory effects (IMM or not), asset class effects Examples of limits on market-implied hazard rates from CDS spreads
Chris Kenyon, Director, LLOYDS BANKING GROUP
Chris Kenyon is a Director at Lloyds Banking Group in the front ofce Quantitative Research CVA / FVA group. Previously he was head quant for counterparty risk at Credit Suisse, and at DEPFA Bank PLC he was Head of Structured Credit Valuation (post crisis), working on pricing model development and validation, and market risk. He is the co-author of Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing published in 2012.
Chia Tan, Director, DB Analytics, DEUTSCHE BANK
18.00
Backtesting Of Counterparty Risk Exposure Models Under Basel III

Basel III raises the bar on the demands on backtesting of Counterparty Risk Exposure models. There is a requirement for longer horizons, multiple metrics, whole distribution testing and portfolio backtesting. This talk will address those challenges and show the mathematical foundation underpinning their solution.
Chia Chiang Tan is currently a Director at DB Analytics, Deutsche Bank, and covers Interest Rates and Ination products. He has previously worked at Dresdner Kleinwort, Barclays Capital and CIBC, where he variously focused on Rates, FX (short and long-dated), Rate/Equity/FX hybrid products and Risk modelling. He is also the author of Demystifying Exotic Products (Wiley 2010) and Market Practice in Financial Modelling (World Scientic 2012).
11.50
Smile Dynamics Applied To Equity Derivatives

Speaker tbc 12.30
17.20
Networks Of Belief: FX Derivatives In Regulated Markets

How Do You Combine Stochastic Volatility & Local Volatility With Dividends?
Akilesh Eswaran, Index Exotics Trading, Global Markets Equity DEUTSCHE BANK
13.10 Lunch + Meet The Speaker Lunchtables
We take economic intuition about exchange rate regulation types as a starting point We propose to combine them through regime switching to a risk-neutral valuation in emerging and not so emerging FX derivatives markets
Main Conference: Day 2 - Wednesday 17 April 2013

14.30 10.40 Morning Coffee 17.40
Equity Implied Volatilities: Models vs Reality
David J. Hait, Ph.D., is a nancial economist with over 20 years of experience in applied quantitative derivative research and technology. Dr. Hait founded OptionMetrics to fulll a major need in the nancial marketplace for accurate and reliable data and services for the econometric analysis of the options markets. A former Vice President in the Fixed Income Research Group at Paine Webber, Dr. Hait has consulted for the Equity Derivatives Research Group at Morgan Stanleyand the Derivatives Technology group at J. P. Morgan. Additionally, he has taught courses on derivatives at J. P. Morgan. Dr. Hait received his Ph.D. in Finance from NYUs Stern School of Business.
David Hait, Founder & President, OPTIONMETRICS
Stream B: New Advances In Interest Rate Modelling & CSA Discounting

11.10
Interbank Spreads Explained By Simple Credit Model

Simple credit model explaining interbank rates like LIBOR Risk free rates implied from model Closed form results given for a nite and innite set of panel banks Also in cases of correlation and removal of outliers
Christian Fenger has worked for Quantitative Research in Danske Bank Markets the latter 7 years. His areas cover interest rates, yield surface building, xed income and credit. He holds an MSc in Physics from University of Copenhagen and a PhD from Technical University of Denmark.
Multiple-Curve Modelling In Collateralized Markets

Funding, collateral and hedging Bootstrapping discount, forward and basis curves Collateralized multi-tenor HJM models Calibration and pricing issues
Christian Fenger, Senior Quantitative Analyst DANSKE MARKETS
15.10
Exploring The Hidden Risk In Quantos

Quanto vanillas appear deceptively simple Under closer examination, they push the limits of our understanding of derivatives markets I will explain the hidden risk in a humble quanto
Peter Austing, Quantitative Analytics BARCLAYS
Peter moved from mathematical physics to nance in 2004. He has been in his current role in the quantitative analytics team at Barclays Capital for four years, and is particularly interested in correlation and volatility modelling for foreign exchange derivatives.
Andrea Pallavicini is Head of Equity, FX and Commodity Models at Banca IMI, where he has the responsibility of numerical algorithms design, nancial modelling and research activity. He is also Visiting Professor at the Mathematics Department of the Imperial College London. Previously, he held positions as Head of Financial Models at Mediobanca and Head of Financial Engineering at Banca Leonardo. He has a Ph.D. in Theoretical and Mathematical Physics from the University of Pavia for his research activity at CERN laboratory in Genve. Over the years he published several academic and practitioner-oriented articles in nancial modelling, theoretical physics and astrophysics on major peer-reviewed journals. He is author of books on counterparty risk and credit derivatives for Wiley.
Andrea Pallavicini, Head Of Equity, FX & Commodity Models, BANCA IMI
18.20 18.25 18.35
Chairmans Closing Remarks Champagne Roundtables
The Global Derivatives Trading & Risk Management 2013 Drinks Reception Stream C: The Latest Innovations In FVA
15.50 16.20
Afternoon Coffee
11.50
Some Aspects Of Correlation Skew Modelling In Equities

Practical Implementation Of The LMM-SABR Model

Parsimonious specication of the correlation matrix Efcient calibration to the correlation structure Reducing the computational bottle-neck: accurate, fast and simple approximations for the drifts Dealing with excited volatilities
DEBATE
What Is FVA? Dening It & Exploring How You Need To Account For It
Damiano Brigo, Professor & Co-Head Of Mathematical Finance IMPERIAL COLLEGE LONDON
Vladimir Lucic, Head Of Equity Derivatives Quantitative Analytics, BARCLAYS

Vladimir Lucic is Head of Equity Derivatives Quantitative Analytic, Barclays Quantitative Analytics working on modelling equity derivatives and related hybrids. He has spent thirteen years working as a front ofce quant. Prior to joining Barclays in 2007 he worked at Nomura International plc and TD Securities.
Dene correlation skew in terms of observable basket prices Introduce parameterization via product copula tailored to capture things go together phenomenon Study of impact on other products, various extensions and relationship with existing models
17.00
Using Algorithmic Differentiation For Fast Modelling Of Local Correlation

AAD presentation Greeks duality Perturbation techniques Local correlation: modeling and impact
Before his current role Riccardo held a number of senior positions as head of risk management and/ or quantitative research at RBS and BarCap. He has been on the Board of ISDA (2002-2011), and still serves on the Board of GARP (2001 to present). He holds a Doctorate in Nuclear Engineering, a PhD in Condensed Matter Physics and was a Research Fellow in Oxford in Physics. He is a visiting lecturer in Mathematical Finance at Oxford University (OCIAM), and is the author of several books (Princeton, Wiley, Palgrave) as well as many articles in nance in refereed journals.
FX Analytics, PIMCO
Riccardo Rebonato, Global Head Of Interest-Rate &
Christoph Burgard, Global Head Of Equity Derivatives, Securitisation Derivatives & Credit-Counterparty Modelling, BARCLAYS
Louis Scott, Managing Director, Co-Head, Quantitative Analytics UBS INVESTMENT BANK
12.30
Adil Reghai, Head Of Equity, Commodity & Arbitrage Research, NATIXIS
Using & Calibrating The LMM-SABR Model In Exceptional Market Conditions

Louis Scott began his banking career in Fixed Income Quantitative Research at Morgan Stanley, where he spent 13 years, splitting his time between quantitative research and risk management. In February 2010, he moved to UBS where he joined Investment Bank Risk Control focusing on quantitative risk management before moving to his current role in which he is responsible for managing a global group of professionals responsible for front ofce pricing models. Prior to his banking career, he was a nance professor.
Adil Reghai is an alumni of Ecole Polytechnique of Paris and Ecole des Mines of Paris. Adil has worked as a senior quant and head of research in several houses such as BNP Paribas, Merrill Lynch, Dresdner Kleinwort Benson and Calyon. Now Adil is in charge of the Equity and Commodity and Arbitrage Research with Natixis based in Paris.
17.40
Exploring The Latest Advances In Developing Stochastic Correlation Models

Riccardo Rebonato, Global Head Of Interest-Rate & FX Analytics, PIMCO

Bio available above 13.10 14.30
Calibration challenges from the new normal Insights from afne models: what should the forward-rate volatility look like in different market conditions Translating from the afne language to the forward-rate dialect: the fundamental decomposition Ensuring positive variance Efcient calibration
09.20
Finding Valuation Adjustments: A New Look At CVA/ DVA/ FVA

Common misconceptions on derivatives valuation adjustments Introducing economically-sound assumptions Pricing under collateralization, default risk and differential rates Finding new values for standard valuation adjustments
Fabio Mercurio, Head Of Quant Business Managers, BLOOMBERG

Correlation fundamentals and the fth property of the Euclidean metric Developing a stochastic correlation model consistent with variance swap markets
10.00
Sebastien Bossu
Economic Value & FVA
A regular speaker at Global Derivatives, Sebastien Bossu is co-author with Philippe Henrotte of An introduction to Equity Derivatives, 2nd Edition published by John Wiley & Sons. Previously, Sebastien was Director of Equity Derivatives Structuring for an investment bank in London and also worked at J.P. Morgan as an exotics structurer. He is a graduate from The University of Chicago, HEC Paris, Columbia University and Universit Pierre et Marie Curie.
New Advances In Modelling Tenor Specic Curves
18.20 18.25 18.35
Dilip Madan specializes in Mathematical Finance and is currently serving as a consultant to Morgan Stanley and Meru Capital. He is Managing Editor of Mathematical Finance, and Co-editor of the Review of Derivatives Research. He held the 2006 von Humboldt award in applied mathematics, the 2007 Quant of the year award, the 2008 Medal for Science from the University of Bologna and the 2010 Eurandom chair.
Dilip Madan, Professor Of Mathematical Finance ROBERT H. SMITH SCHOOL OF BUSINESS, UNIVERSITY OF MARYLAND
The Global Derivatives Trading & Risk Management 2013 Drinks Reception
15.10
Andrew Dickinson, Vice President, JP MORGAN
Introduce and dene a notion of economic value, contrasting this with the fair value (as dened by the accounting standards). We identify the FVA as a component of an economic value adjustment We provide the necessary mathematical denitions and results to represent the FVA in a model-independent fashion. These results may be viewed as a probabilistic analogue and generalization of the results of Piterbarg, Burgard and Kjaer. However, we make no specic assumptions about the dynamics of the underlying assets nor credit/funding We describe what the results reduce to for special cases of CSA and close-out We describe some of the subtleties and modelling challenges, including, the importance of capturing funding-credit correlations
Stream B: The Latest Developments In Collateral Modelling

Developing A Long Term Yield Curve Model

Specifying requirements for long term stochastic yield curve models Considering applications to pricing structured products, investment analysis and asset liability management Review of existing models and testing their drawbacks Developing and testing a nonlinear model t for purpose
Andrew Dickinson is a Vice President working at JP Morgan focussing on the modelling of funding and capital. Prior to his current role he worked in exotic interest rate derivatives at JP Morgan and Merrill Lynch. He holds a doctorate in stochastic analysis from the University of Oxford.
10.40 11.10
Morning Coffee
Comparing Different Collateral Trading Techniques & Exploring How We Can Make Collateral Trading More Efcient
Claudio Albanese holds a PhD from ETH Zurich and pursued an academic career up to achieving the title of professor. He held regular faculty positions at the University of Toronto and Imperial College and currently lectures at Kings College London. Claudios primary occupation is to consult for nancial rms about valuation methodologies, risk management and high performance computing.
Michael Dempster, Professor Emeritus, Centre For Financial Research, Department Of Pure Mathematics & Statistics UNIVERSITY OF CAMBRIDGE
Model Risk In Funding Value Adjustment

Challenging The Recent Approaches To FVA & Collateralized Pricing
There is not only one FVA: Different choices and their effects Challenging todays approach to collateralized deals Cross-currency and the strange case of the risk-free rate
Claudio Albanese, Professor, KINGS COLLEGE LONDON
09.20
Michael Dempster has taught and researched in leading universities on both sides of the Atlantic, including Oxford, Cambridge, Stanford, CaliforniaBerkeley, Princeton, Toronto and Rome, and is currently founding Editor-inChief of Quantitative Finance and an Associate Editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions. Author of over 110 published research articles in leading international journals; his books include Stochastic Programming, Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond, Quantitative Fund Management (with G Mitra and G Pug) and Stochastic Optimization in Finance and Energy (with M Bertocchi and G Consigli).
Overcoming The Challenges Of Modelling Optionality In CSAs & Examining The Potential Impact Of Moves To Standardise Collateral Contracts
Speaker tbc 10.00
15.50 16.20
Afternoon Tea
Derivatives On Cash Instruments

Massimo holds a PhD in Mathematics and a MSc in Economics. He is Head of Interest Rate & Credit Models andi s Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of London City University. He regularly delivers advanced training on model risk management, credit modeling, interest rate market models and correlation modeling. His papers appeared on journals including Risk Magazine, Mathematical Finance and the Journal of Derivatives.
Massimo Morini, Head Of Interest Rate & Credit Models, Coordinator Of Model Research, BANCA IMI
Collateral Convexity Of Libor & FX Forwards

How collateral impacts discounting and the computation of Libor and FX forwards Convexity adjustments for Libor and FX forwards with different collateral Stripping market curves to generate discount factors and forwards with non-standard collateral Estimating the impact of collateral convexity using a mean-reverting FX/collateral basis correlation model
Forward bonds, repos, bond indices, CMT, TEC10 Pricing and risk management Options and convexity adjustments Balance sheet exposures Comparing cash versus derivative solutions from a bank and client perspective
11.50
Hans-Peter Schch, Director, Structured Rates Trading NOMURA
Consistent No-Arbitrage Derivatives Pricing Including Funding & Collateral

Basic Assumptions - Market Description - Funding and Collateral - Replication - Feynman-Kac Theorem Pricing Formulas Including Funding And Collateral - Single Currency Case - Multiple Currency Case Conclusions
Hans-Peter has over ten years of industry experience in trading xed income derivatives. He is working as a senior trader on the structured rates trading desk at Nomura in London. He is responsible for risk managing the EUR exotic rates trading book. In prior roles he held responsibilities for USD rates exotics and hybrids trading books.
Paul McCloud has 12 years of experience working as a quant in vanilla and exotic rates and commodities at rms including Lehman Brothers, Merrill Lynch, Rabobank & BP. He has a PhD in Mathematics from Kings College London, studying symmetry techniques for quantum gravity. His current research interests include the application of symmetry to the pricing of interest rate and hybrid derivatives, and modelling the exotic features of CSA discounting. Paul was also the lead quant in the team at Nomura that identied the CMS triangle arbitrage in 2009.
Paul McCloud, Head Of Vanilla Interest Rate Quants NOMURA
17.00
What Drives Interest Rates Volatility?
Piotr Karasinski, Senior Advisor EBRD
Piotrs career spans more then 25 years and covers all areas of quantitative nance. Educated in physics at Warsaw and Yale universities, he landed on Wall Street by shear accident. He has worked for a number of leading rms in New York and London and currently is a Senior Advisor at the European Bank for Reconstruction and Development in London.
Marco joined the Market Risk Management area of Intesa Sanpaolo in 2008. His recent work covers derivatives pricing and risk management across all asset classes, with a focus on new products development, model risk management, interest rate modelling, funding and counterparty risk. Previously he worked for 8 years in the front ofce Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and ination trading desks. He holds a Ph.D. in theoretical condensed matter physics.
Marco Bianchetti, Head Of Financial Modelling & Validation, INTESA SANPAOLO
10
Main Conference: Day 2 & 3 - 17 & 18 April 2013

Stream C: New Advances In Risk Management Models & Techniques
12.30
Stream D: Innovations In Quantitative Investment Strategies & Algorithmic Trading

15.50 16.20
Afternoon Coffee
Can We Recover?

Lifting The Lid On Algo & Low Latency (HFT) Trading

How to determine what you really need to have and do Key technical aspects Core strategy building and operational aspects The future of algo and HFT trading Exploiting HFT techniques for non HFTs
CASE STUDY
Recovering real world probability from a risk-neutral measure The Ross Recovery Theorem An extension to bounded diffusion Can we recover on unbounded domains?
From Risk-Neutral To Alpha Strategies: Quants In Transition

Can option-theory help to create alpha-strategies? Common pitfalls when exploring market inefciencies When are statistical patterns strong enough to commit capital? Algorithmic versus traditional investments: As different as one thinks?
Dr. Peter Carr has 16 years of experience in the derivatives industry. He was also a nance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYUs Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 70 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical nance. He was selected as Quant of the Year by Risk Magazine for 2003 and as Financial Engineer of the Year by IAFE for 2010. In 2011, he broke into Institutional Investors Tech 50.
Peter Carr, Managing Director, MORGAN STANLEY
Alex Langnau is also Visiting Scientist at the Ludwig-Maximillian University Munich. Prior to this he held various roles across the industry including Global Head of Quants across asset classes at Dresdner Bank, Global Head of Equity Derivatives Modelling at Merrill Lynch and Global Head of Exotic Equity Derivatives Modelling at Goldman Sachs. He started his career at Bakers Trust/Deutsche Bank. He holds a PhD in Theoretical Physics from the Stanford Linear Accelerator Center and completed his post-doc in the area of Theoretical Particle Physics at Cornell University. His current research interests include dynamic modelling of correlations and high frequency trading strategies.
Alex Langnau, Global Head Of Quantitative Analytics ALLIANZ INVESTMENT MANAGEMENT
Prior to his role at Lakeview, Peter managed signicant hedge fund type investment portfolios and quantitative trading departments for among others Cooper Neff, Salomon Brothers, HypoVereinsbank and Credit Lyonnais. He has over 15 years of experience in the development and running of sophisticated automated trading operations. He holds a MBA degree from the Owen Graduate School at Vanderbilt University, Nashville, USA.
Peter van Kleef, Partner LAKEVIEW CAPITAL MARKET SERVICES
17.00
13.10 14.30
09.20
Beyond The Complete Markets Paradigm: Pricing & Hedging Derivatives With Unhedgeable Market Risks & Model Risks
Rational Economic motivation Numerical examples
Market Impact With Autocorrelated Order Flow Under Perfect Competition

John Crosby, Visiting Professor, Centre For Economic & Financial Studies, GLASGOW UNIVERSITY & Managing Director, GRIZZLY BEAR CAPITAL
Jim Gatheral, Professor, Department Of Mathematics BARUCH COLLEGE, CUNY Bio available on pg. 8
10.00
Perfect competition, the martingale price process and fair pricing The average price path during meta-order execution, reversion and permanent impact The latent order book Predicting execution cost for meta-orders
Xavier Abdobal, Head Of Linear Quantitative Research EMEA, Electronic Client Solutions, JP MORGAN
Examining Liquidity Fixing, Understanding If Liquidity Is Toxic & Assessing How Much It Costs To Trade In The Dark Compared To In The Light
Xavier Abdobal joined JP Morgan in 2010 to lead the EMEA Quantitative Solutions group at JP Morgan. Quantitative Solutions is a global quantitative group that focuses on both electronic trading and portfolio and risk analytics for the Equities division. Prior to joining JP Morgan, he worked at Deutsche Bank for three years where he headed the European PT/ Delta-1 quantitative research and development efforts and at Lehman Brothers for three years where he was in charge globally of the development of Trading Analytics including the patented PRISE impact cost model. He started his career at Credit Lyonnais Securities as an equity derivatives quant. He holds a Master in Engineering from Ecole des Mines de Paris.
Trading In The Dark
John has developed derivatives pricing models across all asset classes. He is best known for publishing several papers in the area of commodity and hybrid derivatives. He is also a former FX options trader. John is a visiting Professor at Glasgow University and an invited lecturer on the M.Sc. course in Mathematical Finance at Oxford University.
Examining The Latest Research In Market Microstructure & Market Design

The importance of order matching algorithms What is an appropriate tick size? How does market structure vary across different products and regions? What is changing and is likely to change in the near future
17.40
15.10
Assessing The Impact Of Regulatory Reforms On High Frequency Trading Business Models
Speaker tbc 18.20 18.25 18.35 Chairmans Closing Remarks Champagne Roundtables
Latest Advances In Liquidity Risk Modelling
Robert Almgren, Co-Founder, QUANTITATIVE BROKERS
Rama Cont, Chair In Mathematical Finance & Professor Of Mathematics IMPERIAL COLLEGE LONDON Bio available on pg. 7
15.50 16.20 Afternoon Coffee 10.40 11.10
Robert Almgren is also a Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program.
Backtesting Risk Models To Examine Actual Model Performance

Eva Strasser, Executive Director, JP MORGAN
Eva Strasser is currently an Executive Director in the Equity Quantitative Research team at JPMorgan in New York. Prior to this, she received a PhD in Mathematics from the Vienna University of Technology, where she also held a research position with Prof Walter Schachermayer. Eva joined the Equity Quantitative Research team at JPMorgan in London in 2003 and has since covered a variety of topics such as credit-equity modelling or correlation modelling in local and stochastic volatility models. A recent research interest, which is in particular topical since 2008, is backtesting of derivative payoffs using static as well as dynamic hedging strategies. Even more recently, Eva started to get involved in the hybrids modelling effort covering cross assets payoffs with FX and IR.
Morning Coffee
Surprising Insights From Market Microstructure

How to properly look at data Natural laws in nancial data Market liquidity and trader behaviour Indications of turning points 07.40 08.25 08.30
Main Conference: Day 3 Thursday 18 April 2013

Registration & Coffee Chairmans Opening Address
Thomas Bisig, Financial Engineer, OLSEN LTD.
17.00
Hybrid Structural Default Modeling

Hybrid method: the rm value/ rst passage approach applied for complex capital structure with asset price following jump-diffusion process Application of compound option pricing model to estimate companys credit quality Building full term structure of survival and default probabilities using forward induction
After graduating from ETH Zurich with a Msc in theoretical physics, he worked as a management consultant for banks and insurances. At Olsen, he has developed services like the Scale of Market Quakes and the Olsen Trading Tools. He consults and teaches cutting-edge developments in nance.
Trading Lessons Of The Market Wizards

Jack Schwager discusses his experiences in interviewing some of worlds greatest traders and the essential trading lessons that he learned in the process.
11.50
Optimising Inventory Management For Risk Controlled High Frequency Trading In A Large Portfolio: Establishing The Key Criteria To Decide What To Trade & What To Carry
Michael Sotiropoulos
Global Head Of Algorithmic Trading Quantitative Research,
Michael Sotiropoulos is the global head of algorithmic trading quantitative research at Bank of America Merrill Lynch. His group supports the Global Execution Services business, and focuses on market microstructure and algorithmic trading research and development. Michael joined Bank of America in 2004, as an equity derivatives quant after spending three years at Bear Stearns in the same role. He was head of equities quantitative research for year 2008 before moving to algorithmic trading. He has a Ph.D. in Theoretical Physics from SUNY Stony Brook. Prior to joining the nance industry he taught and worked in quantum eld theory and particle physics at the University of Southampton and at the University of Michigan.
Prior to his current role, Marat V. Kramin worked as a Vice President with Wachovias Corporate and Investment Banking Quantitative Analysis Group within the Fixed Income Department and in the Market Risk Management division in each of model validation and model risk responsibilities. Before joining Wachovia (March 2005), Marat was a Senior Financial Engineer in the Portfolio Analytics Group at Fannie Mae (2001-2005). Marat holds both PhD in Applied Mathematics from Kazan State University, Russia. Marat has published various articles in peer reviewed journals. Marats research has been in the area of pricing and hedging various exotic interest rate, FX and hybrid derivatives.
Marat Kramin, Director, Fixed Income Analytics WELLS FARGO SECURITIES
BANK OF AMERICA MERRILL LYNCH
Mr. Schwager is currently the co-portfolio manager for the ADM Investor Services Diversied Strategies Fund, a portfolio of futures and FX managed accounts. He is also an advisor to Marketopper, an India-based quantitative trading rm, supervising a major project that will adapt their trading technology to trade a global futures portfolio. Previously, Mr. Schwager was a partner in the Fortune Group, a London-based hedge fund advisory rm. His previous experience includes 22 years as Director of Futures research for some of Wall Streets leading rms and 10 years as the co-principal of a CTA. Mr. Schwager has written extensively on the futures industry and great traders in all nancial markets. He is perhaps best known for his best-selling series of interviews with the greatest hedge fund managers of the last two decades: Market Wizards (1989), The New Market Wizards (1992), Stock Market Wizards (2001), and Hedge Fund Market Wizards (2012). His latest book Market Sense and Nonsense is scheduled for release in November 2012. Mr Schwagers rst book, A Complete Guide to the Futures Markets (1984), updated as Schwager on Futures series in mid 1990s, is considered to be one of the classic reference works in the eld.
Jack Schwager, Co-Portfolio Manager, ADM INVESTOR SERVICES DIVERSIFIED STRATEGIES FUND
Prior to his current position Stephen D. Young worked as the Head of the Option Strategies Group for Evergreen Investments, Wachovia CIB Risk Management where he was the Head of the Credit & Counterparty Risk Analytics Group and prior to that the Director of Risk Oversight for Equity and Commodity Derivatives. Before joining CIB Risk Management, he was a Vice President with Wachovia CIB Equity Derivatives. Prior to joining Wachovia, he held positions with Merrill Lynch and Sterling Investments. Stephen has published articles on derivatives and risk management in various peer reviewed journals. He is an adjunct lecturer in nance at The George Washington University.
Stephen Young, Chief Risk Ofcer, Afliated Managers Division, WELLS FARGO ASSET MANAGEMENT
12.30
09.10
Strategies For Exploiting Imbalances In The Market

Speaker tbc 13.10 14.30
New Practical Techniques For Optimising Execution & Minimise Market Impact
The Proper Use Of Derivatives

Bruno Dupire, Head Of Quantitative Research, BLOOMBERG

A brief history of derivatives products and of famous mishaps Sell side vs buy side: differences in objectives and methods Integrating exposure, view and risk constraints Aligning a product to a need: propositions for a better practice
17.40
Using Big Data To Develop Efcient Trading Strategies

09.50
Assessing The Different Early Warning Systems & Their Impact On Systemic Risk Deduction
Systemic risk measurement from option markets Hedging against systemic risk Developing early warning systems
What Google, Wikipedia and Flickr know about nancial markets Can we anticipate large scale economic decision making captured in big data? Big data analytics: Increasing the signal to noise ratio
360 Industry View Quants On The Move

From Exotics Pricing To Capital Optimisation, Investment Strategies & Beyond: Examining What The Future Holds For Quantitative Finance
Vladimir Piterbarg, Global Head Of Quantitative Analytics Group, BARCLAYS
Vladimir Piterbarg is a Managing Director and the Head of Quantitative Analytics at Barclays Capital. Before joining Barclays Capital in March 2005, he was a co-head of quantitative research for Bank of America, where he had worked for 8 years. Vladimir Piterbargs main areas of expertise are the modelling of exotic interest rate and hybrid derivatives.
Wim Schoutens is a research professor in nancial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation. He is an expert advisor to the European Commission on State aid assessment of valuation of impaired assets and of asset relief measures. Wim is the author of Lvy Processes in Finance, Lvy Processes in Credit Risk and The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management and is co-editor of Exotic Option Pricing and Advanced Lvy Models all published by Wiley. He is Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance, Quantitative Finance and Review of Derivatives Research.
Wim Schoutens, Research Professor CATHOLIC UNIVERSITY OF LEUVEN
Tobias Preis is an Associate Professor of Behavioral Science and Finance at Warwick Business School which is a department of the University of Warwick. He is a computational social scientist focussing on analysis and prediction of social and nancial complexity captured in big data. Preis is also a Visiting Lecturer at University College London. In 2011, he worked as a Senior Research Fellow with H. Eugene Stanley at Boston University and with Dirk Helbing at ETH Zurich. In 2009, he was named a member of the Gutenberg Academy. In 2007, he founded Artemis Capital Asset Management GmbH, a proprietary trading rm which is based in Germany.
Tobias Preis, Associate Professor Of Behavioral Science & Finance, WARWICK BUSINESS SCHOOL
15.10
Jesper Andreasen, Global Head Of Quantitative Research, DANSKE BANK

Risk Control & Allocation In Algorithmic Trading

Addressing risk control and risk issues Should the P&L prole change when the starting point is zero, vs. + x% vs. -x%? Beyond regular allocation - allocation based on signal strength, drawdown, etc
Peter Carr, Managing Director, MORGAN STANLEY

Bio available on pg. 11 Bio available on pg. 6
18.20 18.25 18.35
Before his current role, Ali was partner and head of analytical trading strategy at Caspian Capital Management, LLC. Prior to joining Caspian, Ali worked as a quant at Morgan Stanley, Banc of America Securities, and Prudential Securities. He is also an adjunct associate professor at Columbia University since 2000 and Courant Institute of New York University since 2004. Ali is the author of Computational Methods in Finance, Chapman & Hall/CRC 2012 and the co-author of An Introduction to Mathematics of Financial Derivatives, Academic Press 2013 and is the editor of Journal of Investment Strategies. Ali received his PhD in applied mathematics from University of Maryland.
Ali Hirsa, Managing Partner, SAUMA CAPITAL
Bruno Dupire, Head Of Quantitative Research, BLOOMBERG Riccardo Rebonato, Head Of Rates & FX Analytics, PIMCO
10.40
Morning Coffee
11
Main Conference: Day 3 - Thursday 18 April 2013

Stream A: New Volatility Modelling & Trading Techniques
11.10
Recent Developments & Trading Strategies

VIX Derivatives
Trends in liquidity in VIX futures, VIX Options and ETNs/ETFs How are ows in VIX derivatives affecting the equity derivatives market? Alpha and hedging strategies using VIX derivatives
Dr Ser-Huang Poon is a Professor of Finance at Manchester University, NUS, UTS (distinguished visiting professor), and a Board Member of NAG, Oxford. In 2008, Dr Poon led a European consortium on a 3.7 million funding (929,023 Manchester based) for research training in Risk Ma agement and Risk Reporting. In 2012, she is part of another consortium in HPC in Finance with 220,400 direct funding on computer platform comparison for the purpose of real-time risk management. Her volatility research is cited as reference readings on Nobel website. She has written three books and published widely in peer reviewed journals. She is the joint recipient of two best paper awards.
Ser-Huang Poon, Professor Of Finance MANCHESTER UNIVERSITY
Enrico Bifs main research interests lie in the areas of insurance and risk management, with a focus on asset-liability management, valuation of insurance and pension liabilities, and optimal design of risk transfers for long term risks and catastrophe exposures. He has written extensively on market-consistent accounting standards for insurers, longevity risk management and securitization. Prior to joining Imperial College London in 2007, Enrico held positions at Bocconi Milan, Association of British Insurers, and Cass Business School. Enrico holds a PhD in Mathematics for Economic Decisions.
Enrico Bifs, Assistant Professor In Actuarial Finance IMPERIAL COLLEGE LONDON
Maneesh S. Deshpande joined Barclays Capital in September 2008. He was part of the team which has been ranked No. 1 in Institutional Investors annual survey from 2007-2010 in the Equity Derivatives/Equity Linked category. Prior to Barclays Capital, Maneesh held a similar role at Lehman Brothers since 2007. He joined Lehman Brothers from Goldman Sachs, where he established and ran its Systematic Portfolio trading desk. Prior to that, Maneesh was the head of the Principal Trading desk at Morgan Stanley Japan and was the head of the U.S. Interest Rate Options Trading desk at BNP. Maneesh earned a Ph.D. in Theoretical Physics from the University of Pennsylvania.
Maneesh Deshpande, Managing Director & Head Of Americas Equity Derivatives Strategy, BARCLAYS
18.00 18.10
Chairmans Closing Remarks End Of Main Conference
17.20
Minimal Ination: Pricing Ination-Linked Options With A One-Factor Local Volatility Model
Minimal model approach where the year-on-year ination ratio is specied as a one-factor process with mean reversion and local volatility Fully implicit nite difference implementation inspired by the volatility interpolation model of Andreasen and Huge Dimensioning the nite difference grid and dening its geometry Exact calibration to year-on-year ination options and best t to zero-coupon options New insights and numerical results for the joint calibration to year-on-year and zero-coupon ination
Diana Ribeiro is a Director of Rates Quantitative Research at Lloyds Banking Group. She started her career in 2005 at Lehman Brothers as a quantitative analyst and joined Lloyds in 2008, where she now leads the ination quantitative research team. Diana has a PhD in Financial Mathematics from the University of Warwick and is a published author in academic and practitioner journals, including Risk magazine.
Stream B: Advanced Risk Management & Modelling Of Insurance Products

11.10
11.50
Multi-Factor Unspanned Stochastic-Local Volatility Model

Unspanned volatility and Linearity-Generating Processes Adding local volatility Mapping onto a non-linear Quasi-Birth-Death process Calibration and computational methods
Product Design & Protection Strategies: Controlling Volatility & Managing Gaps
How popular are target volatility funds? What is the problem with the insurance industrys writing guarantees on target volatility funds? What is the problem with many VA products? Alternative fund and product designs Case study: second generation volatility control
Diana Ribeiro, Director Of Rates Quantitative Research, LLOYDS BANKING GROUP
Igor Halperin, Executive Director, Quantitative Research JP MORGAN
Stefan Jaschke, Head Of Quantitative Analysis, MUNICH RE
Igor Halperin is an Executive Director in Quantitative Research at JP Morgan. His interests include derivatives pricing, incomplete market models, and statistical methods. He is also an adjunct professor at the department of Finance and Risk Engineering at NYU Poly. Igor has a Ph.D. in Theoretical High Energy Physics.
Stefan Jaschke is heading the Quantitative Methods department within the Financial Solutions division of Munich Re group. His main activities are the model building, the pricing and the structuring of Variable Annuity reinsurance. Stefan has over 12 years experience in the banking and insurance industry, including a stay with the German regulator, designing and negotiating the internal model regulation for Solvency II.
18.00 18.10
12.30
Techniques for Instantaneous Arbitrage-Free Fitting of Bid & Ask Quotes

Jan Maruhn, Director, Quantitative Product Group, UNICREDIT
Jan H. Maruhn is heading a team of Equity quantitative researchers in the Corporate and Investment Banking division of UniCredit. His scientic interests focus on optimization in nance as well as the pricing and hedging of derivatives. Jan holds a PhD, diploma and Master of Science in mathematics, with emphasis on mathematical nance and numerical analysis.
11.50
Managing Gap Risks In Life Insurance Unit-Linked Guarantees

Aymeric Kalife, Adjoint Professor, DAUPHINE UNIVERSITY & Head Of Unit-Linked Guaranteed Products, AXA (RISK MANAGEMENT, LIFE & SAVINGS)
11.10
Stream C: Innovations In Computational & Numerical Efciency
13.10 14.20
Panel Discussion Exploring Volatility As An Alpha Generating Strategy
Graduate from HEC, ENSAE and Polytechnique, Aymeric holds a mathematical nance Ph.D from Dauphine university & ESSEC business school. Rates derivatives quant at ABN AMRO then on commodities derivatives at EDF, he has worked as a hybrids derivatives structurer at Merrill Lynch, then as a volatility strategist at Deutsche Bank. He then joined AXA where he set up a team of model and market risks as a Deputy Chief Risk Ofcer at AXA Hedging Services. Head of Structuring, Hedging, Modelling until October 2011. He teaches nance at Paris Dauphine University and Sorbonne university, and his research interests are in hedging market liquidity risk for ow and structured products, Variable Annuities product design and hedging strategies, and the modelling of insurance products policyholders behaviour.
Optimal Trade Execution: Viscosity Solutions & HJB Equations

Risk criteria for optimal trade execution: mean variance or mean-quadratic variation? Pre-committment or time-consistent? Industry standard approach (Almgren/Chriss) is actually mean-quadratic variation optimal Optimal strategies as solution of a Hamilton-Jacobi-Bellman (HJB) equation) Numerical method: semi-Lagrangian timestepping, guarantees convergence to the viscosity solution In terms of efcient frontier, pre-commitment mean-variance signcently outperforms original industry standard approach
SPECIAL EXTENDED SESSION
Pierre de Saab, Head Of Investment Team, DOMINIC & CO

Pierre joined Dominic & Co in September 2010, where he and his team manage the Cassiopeia Fund, a market-neutral volatility arbitrage fund. Previously he worked at UBS and Credit Suisse, where he led various equity derivatives trading desks in Zurich, London and New York. Pierre holds a MSc in Mathematics from the Swiss Federal Institute of Technology and an MBA from INSEAD.
12.30
Managing Guarantees In The Insurance Sector

Danish experience with mark to market of liabilities Challenges when managing and hedging guarantees Implications of future Solvency II regulation
Peter van Kleef, Partner, LAKEVIEW CAPITAL MARKET SERVICES

Bio on pg. 11
Finn Knudsen, Senior Risk Manager, PFA PENSION
15.00
New Techniques For Pricing VIX Futures & Options
Finn Knudsen has for the last 7 years worked with Risk Management and Asset Liabilitity Modelling at PFA Pension. Before joining PFA Pension he has worked with market and credit risk in the banking and energy sectors. He holds a Master of Science degree in Mathematics-Economics from University of Copenhagen.
Marco Avellaneda has previously worked at Banque Indosuez as consultant in FX derivatives, in xed-income research at Morgan Stanley, as quant strategist at Gargolye Strategic Investments, as Head of Volatility Arbitrage at Capital Fund Management where he created the Nimbus Fund, and as Portfolio Manager for quant trading at the Galleon Group. He is known in academic nance as the inventor of the Uncertain Volatility model, for developing model-calibration algorithms using Weighted Monte Carlo/Max Entropy, for the theory behind dispersion trading, and for his more recent works on statistical arbitrage, high-frequency trading and price forecasting. He is a faculty member at the Courant Institute and is in the editorial boards of Communications on Pure and Applied Mathematics, the International Journal for Theoretical and Applied Finance and Quantitative Finance and authored the textbook Quantitative Modeling of Derivative Securities. He was awarded the prize 2010 Quant of the Year by RISK Magazine.
Marco Avellaneda, Professor Of Mathematics, COURANT INSTITUTE OF MATHEMATICAL SCIENCES, NEW YORK UNIVERSITY & Partner, FINANCE CONCEPTS
After graduating in 1979, Peter Forsyth was a Senior Simulation Scientist at the Computer Modelling Group (CMG) where he developed petroleum reservoir simulation software. After leaving CMG, Peter was the founding President of software startup Dynamic Reservoir Systems (DRS). In 1987, Peter joined the University of Waterloo. Peters current research focuses on Computational Finance, with particular focus on numerical methods for Hamilton Jacobi Bellman partial differential equations. He is a member of the Editorial Board of Applied Mathematical Finance and is the Editor-in-chief of the Journal of Computational Finance.
Peter Forsyth, Professor, Cheriton School Of Computer Science, UNIVERSITY OF WATERLOO
13.10 14.20
12.30
Overcoming The Challenges Of Variable Annuity Product Design & Dynamic Hedging In A Very Low Interest Rate Environment
Andrew Rallis
Senior Vice President & Global Head Of Asset/Liability Management
Forward-Monte-Carlo Schemes For Non-Linear PDEs: MultiType Marked Branching Diffusions

Pierre Henry-Labordre, Senior Quantitative Analyst SOCIT GNRALE
Dr. Pierre Henry-Labordre is a senior quant in the Global Markets Quantitative Research team at Socit Gnrale where he is involved in modeling for all asset classes. Pierre is the author of the book Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (2008). He holds a PhD in quantum gravity from Ecole Normale Suprieure (Paris). 13.10 14.20 Lunch + Meet The Speaker Lunchtables
METLIFE
15.40 16.00
Afternoon Coffee 15.00
Stream B: Modelling For Fixed Income Derivatives Valuation Of CDS Protection From Correlated Counterparties
We discuss the problem of valuing CDS protection on a sovereign bought from a closely correlated counterparty e.g. protection on Italy bought from an Italian bank Typically banks will post collateral; however, we are exposed to gap risk We discuss shortcomings of elliptical / gaussian copula type models when applied to this problem A natural solution is to think in terms of markov chain copulas We discuss a natural calibration of such a model for the pricing of such trades, with the minimal number of free parameters for encapsulating the risk, demonstrating how such a model enables us to determine valuation uncertainty
Modelling VIX Futures & VIX ETNs/ ETFs

Modelling of VIX futures Consistency of the VIX and S&P500 Var Swap markets The smile of VIX ETNs the VXX
New Techniques For Using GPUs To Make Derivatives Pricing & Modelling More Efcient
Speaker tbc 15.00
Lorenzo Bergomi, Head Of Quantitative Research, Global Markets, SOCIT GNRALE

Lorenzo Bergomi has been with SG since 1997. Originally trained in electrical engineering, Lorenzo obtained a PhD in theoretical physics in the theory group at CEA, Saclay, France, then spent two years in the physics department of MIT before joining SG. While his initial focus was on equity derivatives, his current mandate is global.
Graphic Violence: Quantitative Technology In A Time Of Turmoil

Recent events illustrate the limitations of traditional derivatives risk management Need for scenario analysis, model risk assessment and rigorous back-testing Many banks are adopting graph technology - systems that track calculation dependencies Properly engineered, such systems can address the risk management challenge We present a novel approach
16.40
Volatility Estimation (Derivatives vs. Real World)

Alireza Javaheri
Stochastic Volatility, Implied Volatility & Chaos
Alireza Javaheri is Adjunct Professor of Mathematical Finance at the Courant Institute. He has been working since 1994 in the eld of derivatives quantitative research in various investment banks including Goldman Sachs and Citigroup. He holds a Ph.D. in Finance from Ecole des Mines de Paris and is also a CFA charter holder. He has authored several quantitative nance papers on the subject of volatility, including articles with Peter Carr, Paul Wilmott and Espen Haug. His book Inside Volatility Arbitrage was elected the quantitative nance book of the year by Wilmott magazine.
Dherminder Kainth, Head Of Quantitative Research Centre, RBS
J.P. MORGAN
Dherminder Kainth is deputy head of the Quantitative Research Centre (QuaRC) at the Royal Bank of Scotland. He joined QuARC in February 2001 (at the time headed by Riccardo Rebonato). Dherminder has worked across all asset areas and has published a number of papers (primarily work related to Credit Derivatives and modelling rates using the BGM).
Peter Fraenkel, Managing Director UBS
15.40 16.00
Afternoon Coffee 15.40 16.00
I have been working in a quantitative capacity on Wall Street since 1990, making dubious use of a PhD in physics from Cornell. I am particularly interested in the overlap between derivatives analytics and risk management technology.
Latest Innovations In Credit Derivative Modelling

Andrei Serjantov, Head, Flow Credit Research Group BNP PARIBAS
Andrei Serjantov is currently heading up the ow credit research group at BNP Paribas. Prior to this, he was a quantitative analyst in the xed income research team of BNP Paribas and Advanced Research Centre at State Street Global Advisors. Andrei holds a PhD and MA in Computer Science from the University of Cambridge.
Afternoon Coffee
17.20
Stochastic Volatility With Self-Exciting Jumps: Risk Premium & Hedging Implications
The use of self-exciting jump process for stochastic volatility to capture the high persistent and vol skew especially during a stressed period Efcient joint calibration using stock prices, option data and variance swaps Implications of self-exciting jump process on delta of SPX and VIX options, as well as the implied correlation of VIX futures Comparisons between self-exciting jump with double Heston with jumps Based on a joint work by Ser-Huang Poon & Mark Ke Chen (Finance Department, Manchester Business School) 16.40
Asymptotics Can Beat Monte-Carlo: The Case Of Correlated CEV Baskets

Recent Advances In Hedging Longevity Risk: From CSA Modelling To Basis Risk Management

CSA design: from partial rehypothecation to collateral backstops Gauging the basis risk of indexed solutions: cashow basis vs. mark-to-model basis The role of inventory: predictability vs. skin in the game Emerging ideas in contract design
We extend in several ways the work by Avellaneda, Boyer-Olsen, Busca and Friz (Risk 2000) to generalized spread options Via an improved zero order and new rst order formula for the implied volatility derive highly accurate analytic formulas for the prices and the implied volatilities of such baskets. The relative errors are of order 10^(-4) (or better) for a half a year, 10^(-3) for two years, 10^(-2) for ten years The computational time required to implement these formulas is under 2 seconds even in the case of a basket on 100 assets. In comparison, simulation based techniques are prohibitively slow in achieving a comparable degree of accuracy. Thus the present work opens up a new paradigm in which asymptotics may arguably be used for pricing as well as for calibration
12
Main Conference: Day 3 - Thursday 18 April 2013

Joint work with Christian Bayer
Peter Laurence completed his PhD in 1981 in applied mathematics at the University of Wisconsin, Madison. He has published widely in leading international journals in a wide spectrum of areas in applied mathematics and of partial differential equations. In 1999 he co-authored with Marco Avellaneda a book on option pricing. He has taught mathematical nance at the graduate level at NYUs Courant Institute, Columbia University and at Universities of Rome I and II. In 2001-2002 he was a Director in Standard and Poors Risk Solutions group. His main research focus has been on pricing and hedging basket options and asymptotic methods for stochastic volatility models.
Peter Laurence, Professor Of Mathematics UNIVERSITA DI ROMA 1
Elisa Scarpas activities concern the analysis and monitoring of key drivers and the development of econometric models and tools for trading strategies in power, oil and CO2 markets. Before joining Edison Trading, Elisa has been involved for four years in several projects at Fondazione ENI Enrico Mattei in the International Energy Market Unit. She holds a degree in Economics from Bocconi University (Milan) and a masters degree in Energy Finance and Trading from Politecnico of Milan. She is the author of papers on commodity nance and price forecasting.
Elisa Scarpa, Head Of Market Analysis & Forecasting EDISON TRADING
Joseph Chen, Chief, Market Analytics, NEXEN INC.
Joseph Chen has ten plus years in option pricing, market analytics, quantitative modeling, asset valuation, portfolio optimization, and risk management in commodity industry (oil, gas, and power). He has previously held analytical roles at Duke Energy and Williams Energy.
15.40 16.00
Afternoon Coffee
11.50
16.40
What Drives Gold?

Energy Derivatives: From Financial modelling To Physical Derivatives

How not to model energy prices Forward models versus Spot models Seasonality models and their problems Uncertainty versus volatility Cointegration versus correlation
Rational Shapes Of The Local Volatility Surface

Behaviour and extrapolation analytics of local volatility in stochastic volatility models Local volatility parametrization A new saddle point formula for local vol in wings; effect of jumps and numerical results Most likely path analysis and some explicit new formulae in Heston and Stein-Stein
Saeed Amen, Vice President, Quantitative Strategy, NOMURA

Bio available on pg. 7 12.30
Macro factors which drive gold Gold specic factors What are the possible scenarios for gold? What is our view on gold?
P.K. Friz obtained his PhD under the supervision of S. R. S. Varadhan at the Courant Institute, New York. He is currently Professor at the Technical University Berlin and the Weierstrass Institute for Applied Analysis and Stochastics. Previous professional afliations include Merrill Lynch, New York, and Cambridge University, UK. He wrote numerous papers in the broad area of quantitative nance, partial differential equations and stochastic analysis. His book Multidimensional Stochastic Processes as Rough Paths, jointly with N. Victoir, was published by CUP in 2010.
Peter Friz, Professor In Mathematics, TU-BERLIN
Evidence On The Risks & Returns Of Diversied Futures Portfolios

17.20
Diversication effects on systematic and unsystematic commodity futures risk Four-moment tail risks for futures contracts The effect of portfolio size on tail risk Four moment VaR and commodity futures portfolios Markowitz optimization of commodity futures portfolios and its superior performance International stock index futures: diversication, correlation, skewness, kurtosis, and Markowitz results
Peter Leoni graduated with a PhD in mathematical physics. He started his professional career working for KBC Asset Management as a risk manager, modelling equity and interest rate derivatives. Later on he moved to ING as a front ofce quant on the exotic derivatives desk before changing his career path towards commodities, and energy in particular. He spent 4 years in the trading unit of GDF Suez in Brussels. After this, he worked for a private fund in Geneva, Macquarie Bank in London and currently for the London/Geneva ofce of a privately owned trading rm. Since 2011 he also holds a position of visiting professor for the Catholic University of Leuven in Belgium.
Peter Leoni, Visiting Professor, K.U. LEUVEN
16.40
Efcient Pricing For Various Basket Option Types In Commodity Markets
Recent Developments In (Algorithmic) Local Derivatives

Warm-up: Optimality (a poem pro adjoints) Recall: Cheap gradients and Hessians by adjoint Algorithmic Differentiation (AD) First- and higher-order adjoint numerical methods embedded into the AD software dco Recent case study from nance
Dr. Naumann heads the research group Software and Tools for Computational Engineering (STCE) at RWTH. STCE specializes in numerical algorithms for high-performance scientic computing with applications in science, engineering, and nance. Particular focus is on adjoint methods in the context of large-scale nonlinear parameter estimation, calibration and both convex and non-convex optimization. This research is supported by the development of software for Algorithmic Differentation that is actively used by a number of tier-1 banks. Dr. Naumann is a member of the Numerical Algorithms Group Ltd. and the author of the book The Art of Differentiating Computer Programs. An Introduction to Algorithmic Differentiation published by SIAM in 2011.
Uwe Naumann, Professor Of Computer Science RWTH AACHEN UNIVERSITY
Robert Daigler is the fourth most prolic derivatives researcher in the world over the past 15 years and has been a visiting scholar at the Stanford Business School and The University of Strathclyde. His expertise centers on derivatives markets and microstructure (trading) issues, especially portfolio issues with futures and the VIX (volatility) derivatives. His research has appeared in The Journal of Finance, Journal of Banking and Finance, The Journal of Futures Markets, and others. He has written four books in the futures and options area.
Robert Daigler, Knight Ridder Research Professor Of Finance FLORIDA INTERNATIONAL UNIVERSITY
Cristian Homescu, Vice President, Trading Analytics & Risk Services Commodities, WELLS FARGO SECURITIES
Asymptotic expansion techniques are applied to pricing of European and Asian basket options in Commodity markets. Efcient computation of parameter sensitivities needed for calibration and of Greeks is performed using CSDA (complex step derivative approximation) and AAD (adjoint automatic differentiation).
Cristian works as a front-ofce quant since 2005. A member of Trading Analytics and Risk Services group of Wells Fargo Markets, he is currently responsible for Commodities pricing and modeling. Prior to this position, he worked on interest rate and FX. He is also a coordinator for state-of-the-art numerical methods deployed across all asset classes.
13.10 14.20
17.20
Adjoint Greeks For Energy Derivatives

Commodity Derivatives Pricing With Smile Modelling & FX

18.00 18.10
The product set: commodity futures, swaps, options, Asians, swaptions, spread options Dealing with commodity schedules and rolls Introducing currency exposure and dealing with FX conventions Quantos and market/risk considerations
Iain Clark is author of Foreign Exchange Option Pricing: A Practitioners Guide. He has worked at JP Morgan, BNP Paribas, Lehman Brothers, Dresdner Kleinwort, Standard Bank and UniCredit and has over 14 years front ofce quant experience in FX and commodities. His next book Commodity Option Pricing: A Practitioners Guide is forthcoming from Wiley.
Algorithmic differentiation (AD) and pathwise derivatives for MC Greeks Forward and backward modes for AD Applications for commodity derivatives - Strips of spread options - Tolling deals with MC
Iain Clark
Stream D: New Strategies & Techniques For Commodities Trading & Risk Management
11.10 15.00
Roza Galeeva is an Executive Director at Morgan Stanley. She started her career at MS in 2005 in the Financial Control Group, working on models review and model control process. In 2010 she joined the Commodities Market Modelling Group. Roza Galeeva holds PhD in Mathematical Physics from Moscow State University. She has numerous papers on dynamical systems and applications in nancial engineering and broad teaching practice in different universities over the world. She has extensive experience in modelling energy derivatives and risk management.
Roza Galeeva, Executive Director, MORGAN STANLEY
18.00 18.10
Evaluating The Impact Of Speculators, Politicians & Regulators On Commodities Markets & Assessing Where The Future Opportunities Are To Be Found
Impact of speculators in the WTI market: sheep or shepherds? European electricity markets: how regulation is affecting the utilities business Points to watch for future developments
Incorporating FX Volatility In Commodity Spread Option Pricing

Applications in commodity shipment across-currency border: gas transport, oil and LNG transport/shipment etc Commodity spread option pricing incorporates foreign exchange volatility A simple closed-form an extension of Kirks formula The applicability of Samuelson Effect and long-term commodity strategies
About Your Sponsors

swaps, options on variance, VIX options, dividend swapsand many more instruments are handled by our regime switching model which is calibrated to market prices and takes jumps into account. Contact us at: info@ito33.com Building on over 26 years of successful presence in capital markets, Murex has developedan unmatched competence in the design and implementation of integrated trading, risk management, processing and post-trade solutions for sell-side and buy-side institutions, clearing houses, corporations and utilities located across the globe. As a key software provider in the derivatives space, Murex also invested heavily in the development of a comprehensive catalogue of best-of-breed financial models in all asset classes, focusing on robustness, performance and accuracy. During the conference, Murex will be presenting the results of its research on the two following topics: Towards the universal model : the challenges and benefits of enriching a Stochastic/Local Volatility Fuelled by the increasing challenges of a changing regulatory environment we dissect the eternal analytics dilemma; Performance versus Accuracy.
Eurex Clearing is one of the leading central counterparties globally assuring the safety and integrity of markets while providing innovation in risk management, clearing technology and client asset protection. Eurex Clearing provides fullyautomated, straight-through post trade services for derivatives, equities, bonds, secured funding & financing and energy transactions, as well as industry-leading risk management technologies. We clear the broadest scope of products under a single framework in Europe - both listed products and OTC. Our one-stop shop offering combines seamless post-trade services with an efficient collateral and delivery management - to keep you clear to trade. As part of Eurex Group, Eurex Clearing serves more than 150 clearing members in 16 countries, managing a collateral pool of around 50 billion euros and processing gross risks valued at almost 8 trillion euros every month. Find out more at www.eurexclearing.com
ITO33 is a leading provider of Equity Derivatives and Equity to Credit pricing and hedging solutions. Since the inception of the company in 1999, ITO33 has been viewed as the specialist of convertible bonds. Accuracy, speed, robustness and flexibility have been associated with ITO33s pricing software and are enabled by PDE based solvers. Volatility surfaces consistent with CDS, barrier options, forward starting options, variance
OptionMetrics was established in 1999 to provide the most reliable historical options pricing and implied volatility data available anywhere. Our US and international databases are used by financial institutions for back-testing, empirical research, trading and risk management. The OptionMetrics core product, Ivy DB US Options Database, has become the industry standard for accurate and complete historical equity and index options prices, implied volatility and greeks calculations, and volatility surfaces going back to January 1996. OptionMetrics also offers European, Asian-Pacific, Canadian, and Global Indices databases which include data not available from any other vendor. Currently, over 200 institutional subscribers rely on our data as their main source of options pricing, implied volatilities, and volatility surfaces. These include most major banks, a variety of hedge funds, the SEC, the Federal Reserve Board, proprietary trading groups, market makers, universities, large accounting firms and more. Please contact us for more information or a demo account. Contact: Polina Ialamova, Director of Sales & Marketing, info@optionmetrics.com www.optionmetrics.com
SuperDerivatives is he global leader for cloud-based real time market data, derivatives technology and valuation services for the financial and commodity markets.At the core of SuperDerivatives is our live market data, available both in real-time and as a set of end-of-day independent market rates. It is this exceptional market data that fuels our solutions, and is why the global financial community voted us Best Data Provider for Derivatives. SuperDerivatives multi-asset front office technology is designed to be modular and extendable. Based on our core pricing and analytics product SDX, the market benchmark for options, functionality can be extended to include a position viewer, risk management, corporate exposure analysis and connectivity to live SEF compliant market venues. Our independent valuation services are supported by a unique technology platform that allows users to conduct full pricing investigations.
For more information about ways that you can showcase your thought leadership & expertise to our audience of senior derivatives & risk management practitioners please contact Rustum Bharucha on +44 (0) 20 7017 7225 or rbharucha@icbi.co.uk
13
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Global Derivatives 2012 Was A Great Event And I Had A Very Good Time. I Think Its The Best Conference In The Area And The Presentations Were Excellent.
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Please do not cover VIP code Conference Code: FKN2353
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The Portfolio Optimisation & Quantitative Investment Summit: 15 April 2013 Pre Conference Credit Derivative Valuation Workshop (Hull): 15 April 2013 Main Conference: 16 - 18 April 2013 Post- Conference Workshops: 19 April 2013
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Book By 18 Jan 2013 4,097 + (VAT @21%) = 4,957.37 3,298 + (VAT @21%) = 3,990.58 3,298 + (VAT @21%) = 3,990.58 2,399 + (VAT @21%) = 2,902.79 999 + (VAT @21%) = 1,208.79 999 + (VAT @21%) = 1,208.79 999 + (VAT @21%) = 1,208.79
SAVE 1100 800 800 600 100 100 100
Book By 15 Feb 2013 4,497 + (VAT @21%) = 5,441.37 3,598 + (VAT @21%) = 4,353.58 3,598 + (VAT @21%) = 4,353.58 2,599 + (VAT @21%) = 3,144.79 1,099 + (VAT @21%) = 1,329.79 1,099 + (VAT @21%) = 1,329.79 1,099 + (VAT @21%) = 1,329.79
SAVE 700 500 500 400 -
Book By 22 Mar 2013 4,697 + (VAT @21%) = 5,683.37 3,798 + (VAT @21%) = 4,595.58 3,798 + (VAT @21%) = 4,595.58 2,799 + (VAT @21%) = 3,386.79 1,099 + (VAT @21%) = 1,329.79 1,099 + (VAT @21%) = 1,329.79 1,099 + (VAT @21%) = 1,329.79
SAVE 500 300 300 200 -
Book After 22 Mar 2013 4,897 + (VAT @21%) = 5,925.37 3,998 + (VAT @21%) = 4,837.58 3,998 + (VAT @21%) = 4,837.58 2,999 + (VAT @21%) = 3,628.79 1,099 + (VAT @21%) = 1,329.79 1,099 + (VAT @21%) = 1,329.79 1,099 + (VAT @21%) = 1,329.79
SAVE 300 100 100 -
5-DAY PACKAGE: Main Conference + Summit or 15-19 Pre-Conference Workshop + Post-Conference Workshop April 2013 (please select one below) 4-DAY PACKAGE: Main Conference + Summit or Pre-Conference Workshop 4-DAY PACKAGE: Main Conference + Post-Conference Workshop (please select one below) 3-DAY PACKAGE: Main Conference Only 15-18 April 2013 16-19 April 2013 16-18 April 2013 15 April 2013 15 April 2013 19 April 2013
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The VAT rate is subject to change and may differ from the advertised rate. The amount you are charged will be determined when your invoice is raised. Savings include Multiple Package & Early Booking Discounts. All discounts can only be applied at the time of registration and discounts cannot be combined (apart from Early Booking discounts that apply to everyone). All discounts are subject to approval. Please note the conference fee does not include travel or hotel accommodation costs. 200 Discount for third and subsequently registered delegate fee for any packages that include the main conference. We are happy to accept a replacement delegate for the whole event, however delegate passes cannot be split or shared between delegates under any circumstances. Conference code FKN2353
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Register by 22 March & SAVE up to 500

Global Derivatives Trading & Risk Management 20th Anniversary

GLOBAL ECONOMIC OUTLOOK

LESSONS FROM THE MARKET WIZARDS

Portfolio Optimisation & Quantitative Investment Summit

Jesper Andreasen Global Head Of Quantitative Research DANSKE BANK

Peter Carr Managing Director MORGAN STANLEY

Riccardo Rebonato Head Of Rates & FX Analytics PIMCO

Marco Dion Global Head Of Equity Quant Strategy JP MORGAN

Bruno Dupire Head Of Quantitative Research BLOOMBERG

Jim Gatheral Professor, Department Of Mathematics BARUCH COLLEGE, CUNY

Yoav Git Senior Research Fellow MAN INVESTMENTS

Paul Glasserman Jack R. Anderson Professor Of Business COLUMBIA BUSINESS SCHOOL

Maximise Your Learning At Our Separately-Bookable Technical Workshops

The Valuation Of Credit Derivatives

Mark White SVP, Capital Management & Optimization BANK OF MONTREAL

Volatility & Correlation Modelling & Trading In Practice

Credit Collateral & Funding: CVA, DVA, FVA & Beyond

Vladimir Piterbarg Global Head Of Quantitative Analytics Group BARCLAYS

Latest Innovations In Multi-Curve Modelling & Discounting

Whats New For 2013?

LIBOR Market Models: Models, Algorithms & Practice

Companies That Have Already Conrmed Their Attendance Include:

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Global Derivatives Group

Elemental chlorine free (ECF)

Paper sourced from sustainable forests

Global Derivatives Turns 20!

Yoav Git Senior Research Fellow MAN INVESTMENTS

Ali Hirsa Managing Partner SAUMA CAPITAL

Unmissable Networking Opportunities At Global Derivatives 2013

Alex Langnau Global Head Of Quantitative Analytics ALLIANZ INVESTMENT MANAGEMENT

Meet The Speaker Lunchtables

Attilio Meucci Chief Risk Ofcer KEPOS CAPITAL

Hans-Peter Schch Director, Structured Rates Trading NOMURA

Welcome Drinks Tuesday 16th April 2013

Riccardo Rebonato Head Of Rates & FX Analytics PIMCO

Portfolio Optimisation & Quantitative Investment Summit

Constructing Alpha Generation Strategies That Make Money

Quant ThinkTank I: Integrating Quant & Fundamental Approaches

11.50 12.30 13.50

Evaluating The Role Of Quantitative Investments At Pension Fund Investment Managers

Stressing About Risk

Volatility & Correlation Are Not Constant

The End Of Diversication

Quant ThinkTank II: Quantitative Investment In A Risk-Averse World

Separately-Bookable Quantitative Finance Workshop - Monday 15 April 2013

Maximise Your Learning At Our Full-Day, In-Depth Technical Workshops

Main Conference - Day 1

Main Conference - Day 2

Coffee & Registration

Global Economic Outlook

Guest Academic Address

Regulation & The New Financial Order

Economic Value & FVA Andrew Dickinson JP MORGAN

Surprising Insights From Market Microstructure Thomas Bisig OLSEN LTD

Smile Dynamics Applied To Equity Derivatives

William McGhee RBS

Dynamic Hedging Of Volatility Derivatives Philippe Henrotte ITO 33

Exploring The Hidden Risk In Quantos Peter Austing BARCLAYS

What Drives Interest Rates Volatility? Piotr Karasinski EBRD

18.20 18.25 18.35

18.40 18.45 18.55