The Latest Developments: Interest Rate Modelling, 12 - 13 June 2006, Venice

Fabio Mercurio is the Head of Financial Models at Banca IMI. Fabio holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Tinbergen Institute of Rotterdam. Prior to joining Banca IMI in 1998, he was a Financial Modeller in the Risk Management Department of Cariplo Bank in Milan.

His recent scientific interest mainly concerns the interest rate modelling for pricing and hedging derivatives, the pricing of hybrid products and the smile effect in implied volatility structures for the equity, FX and interest rate markets.

Fabio has published several articles in journals such as Mathematical Finance, Applied Mathematical Finance, European Journal of Finance, Finance and Stochastics, International Journal of Theoretical & Applied Finance and Risk. Together with Damiano Brigo, he has published a book on "Interest Rate Models: Theory and Practice" in 2001, 2nd edition (June 2006)

Riccardo Rebonato is Head of Group Market Risk for the Royal Bank of Scotland Group, and Head of The Royal Bank of Scotland Group Quantitative Research Centre. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and MSc. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He sits on the Board of Directors of ISDA and on the Board of Trustees of GARP.

Prior to joining the Royal Bank of Scotland, he was Head of Complex Derivatives Trading Europe and Head of Derivatives Research at Barclays Capital (BZW), where he worked for nine years.

Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is the author of three books, Modern Pricing of Interest-Rate Derivatives, Volatility and Correlation in Option Pricing and Interest-Rate Option Models. He has published several papers on finance in academic journals, and is on the editorial board of several journals. He is a regular speaker at conferences worldwide.

• Volatility and Correlation
  The Perfect Hedger and the Fox
  Riccardo Rebonato
  
• Interest Rate Models: Theory and Practice
  by Damiano Brigo and Fabio Mercurio

Bachelier Finance Society 2006 Fourth World Congress, August 17-20 2006, Tokyo

Due to internet server maintenance at Hitotsubashi University, BFS2006 website and e-mail server will be out of service from January 13th, 10pm to January 16th, 10am. Considering the possibility of any confusion possibly caused by the Internet server maintenance, BFS2006 4th World Congress Organizer will extend the deadline for the application submission from January 16 to January 30, 2006.

• Peter Carr
• Freddy Delbaen
• Paul Glasserman
• Monique Jeanblanc
• Arturo Kohatsu-Higa
• José A. Scheinkman
• H. Mete Soner
• Thaleia Zariphopoulou

• René Carmona
• Hélyette Geman
• Shigeo Kusuoka
• Marek Rutkowski
• Steven E. Shreve
• Nizar Touzi

• Takeaki Kariya
• Yoshio Miyahara
• Katsushige Sawaki
• Takahiko Fujita
• Jiro Akahori

We invite both academics and practitioners to submit your contributed paper on all topics of mathematical finance for the Bachelier Finance Society 2006 Fourth World Congress (BFS2006 4th World Congress). Authors who wish to present a paper at the BFS2006 4th World Congress are requested to submit their application with the extended abstract to the conference organizer by January 30, 2006.

The 3rd Fixed Income Conference, Amsterdam, 20 - 22 Sept 2006

Due to the huge success of our previous two Fixed Income Conferences in Prague, WBS Training are pleased to announce that we will be heading to Amsterdam in September 2006. The three streamed format will be retained, with Credit Derivatives, Interest Rate Modelling and Hybrid Products streams. This year we will also have four workshops on Wednesday 20th September; Credit Derivatives Modelling, Credit Hybrids, Interest Rate Modelling & Interest Rate Hybrids.

• Claudio Albanese: Chair of Mathematical Finance, Imperial College London
• Jesper Andreasen: Heads of Fixed Income Quantitative Research, Bank of America
• Martin Baxter: Analyst, Fixed Income Quant Group, Nomura International, plc
• Nordine Bennani: Head of Credit Derivative Quantitative Research, DrKW
• Damiano Brigo: Head of Credit Models, Banca IMI
• Aaron Brown: Head of Credit Risk Architecture, Morgan Stanley
• Dariusz Gatarek: Glencore
• Helyette Geman: Professor of Finance, University Paris Dauphine & ESSEC
• Jon Gregory: Global Credit Derivatives: Barclays Capital
• Patrick Hagan: Brevan Howard
• Lane P. Hughston: Professor for Financial Mathematics, King's College London
• Chris Hunter: Hybrids Trader, BNP Paribas
• Alexander Jackson: Director, Global Credit Quantitative Analysis, Citigroup
• Peter Jaeckel: Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics, ABN Amro
• Farshid Jamshidian: University of Twente
• Peter Meijer: Structuring and Product Development, JP Morgan
• Raoul Pietersz: Senior Derivatives Researcher, ABN Amro
• Vladimir Piterbarg: Head of Fixed Income Quantitative Research, Barclays Capital
• Antoine Savine: Global Head of Derivatives Research, BNP Paribas
• Lutz Schloegl: Fixed Income Quantitative Research, Lehman Brothers
• Philipp Schonbucher: Assistant Professor of Risk Management, ETH Zurich
• Jakob Sidenius: Senior Quantitative Analyst, Royal Bank of Scotland
• Pedro Tavares: Head of Quantitative Credit Derivatives Analysis, Merrill Lynch
• Oldrich Vasicek: Founding Principal of KMV

• Peter Jaeckel: Interest Rate Modelling Workshop
• Jon Gregory: Credit Derivatives Workshop
• Philipp Schönbucher: Credit Hybrids Workshop
• Claudio Albanese: Interest Rate Hybrids Workshop

Latest Developments: Commodities & Commodity Derivatives by Professor Hélyette Geman, Central London, 2 - 4 Oct 2006

In the context of exploding commodity markets, the goal of the course is to offer a thorough and detailed understanding of both spot and derivative transactions.

The discussion will focus in particular on such fundamental issues as volume risk, forward curve, theory of storage. Plain-vanilla and exotic options on commodities will be analysed, as well as a real options approach to energy physical assets.

• Instruments and Commodity Exchanges: LME, NYMEX, CBOT
• Commodity Spot Markets: the Importance of Liquid Indexes
• Shipping and Freight
• Fundamentals of Commodity Forward and Futures Contracts
• Theory of Storage and Convenience Yield
• The forward curve as a key element when trading commodities
• Spot-forward relationship and shape of the forward curve
• Forward rates as expectations of future Spot rates

• Dynamics of Commodity Spot Prices
• The unique features of electricity: incorporating spikes in the trajectories
• The current bull cycle: mean-reversion or upward trend in energy commodity price processes?
• Options on Commodity Futures Contracts
• Plain-Vanilla Options on Commodity Spot Prices
• Exchange Options

• Inventory and Spot Price Volatility: the examples of Agriculturals, metals and Energy
• Volatility Smile in Commodities: the Inverse Leverage Effect
• Correlations between oil and natural gas prices: the case of the UK and continental Europe
• Asian Options and Floating-Strike Asian Options: the example of the oil market
• Calendar Spread Options and Gas Storage Valuation
• Volumetric and swing options

Alternative Risk Transfer, Capital and Liability Solutions for Insurers: An Introduction to Modern Techniques in Liability Driven Investment, Risk Management & Capital Optimisation, Central London, 9 - 11 Oct 2006

This note outlines a training programme in alternative risk transfer and related issues suitable for all of those wishing to gain a better understanding of this fast moving area.

The programme is designed to provide participants with a broad overview of contemporary issues for insurers in the capital markets/insurance cross over space. It covers risk transfer between the capital markets and insurers, alternative risk transfer, capital instruments and capital modelling, and the design of retail products for issuance by insurers.

Suitable for actuaries, underwriters, members of the treasury or risk management departments of insurers, insurance brokers, and anyone involved in alternative risk transfer or capital management for insurers. The course would also be suitable for regulators, lawyers, accountants, consultants, hedge fund managers and others seeking to broaden their knowledge of ART and related techniques.

• Introduction
• Capital Structure
• Regulatory and Ratings Agency Capital
• Economic Capital Models for Insurers

• Introduction
• Securitisation of Life Risk
• Equity Risk for Life Insurers
• Liability Driven Investment

• Introduction
• Risk Transfer Between The Markets
• Credit Risk, Financial Guarantees and Transformation
• Risk-linked Financing and the Capital Markets

The Latest Developments: Interest Rate Derivatives & Hybrids Workshop, 27 - 29 Nov 2006, Central London

• Interest-rate modelling: the basics
• Applications: short rate models, positive-interest models, chaotic models
• Interest rate and foreign exchange hybrids
• Conditional variance models for foreign-exchange volatility
• Interest rate and inflation hybrids
• Payout structures for inflation-linked hybrid products
• Interest rate and credit hybrids
• Market-information models for credit-linked structures

• Stochastic volatility term structure models for callable swaps
• Modeling challenges with callable swaps
• The Swaption Smile and CMS Convexity Adjustments
• Introducing the displaced diffusion LIBOR model with uncertain shifts
• Approximations of Libor market model
• Linear and Nonlinear Pricing of Swaptions
• Generic and CMS Market Models and Measures
• Extending LIBOR and swap market models

• On the Term Structure of Portfolio Loss Distributions
• FX Hybrids Modelling
• Modelling the long-dated FX smile
• Skew dynamics on FX and interest rates
• Impact of skew dynamics on exotics
• Correlation Smile and Hybrid Pricing
• Evolution of the Correlation Smile

Latest Developments: Credit Derivatives / Credit CPPI & Credit Hybrids, 4 - 6 Dec 2006, Central London

• Single-Name Credit Risk Models
• Term structures of hazard rates and credit spreads, implied survival probabilities
• Structural models, Merton, Black-Cox, Credit-Equity hybrids and latest developments in structural models.
• Portfolio Credit Risk Models
• Basic model-free Single-Tranche CDO pricing relationships
• Copula models, Gauss copula, the market standard model, implied correlation.
• Numerical techniques for factor models: Convolution, Fast Fourier Transforms
• Numerical techniques for simulation models: Importance sampling, sensitivities with Likelihood-ratio methods

• Complete overview of Modelling Correlation Skews
• The Gaussian Copula Model and Beyond
• Correlation Market Dynamics and Skew Models
• A Correlation Skew Model with Sensible Dynamics
• Comparing Base Correlation with Market Dynamics
• Latest developments in CDOs
• Bespoke CDO Pricing- Determining the Correlation Skew from Portfolio Composition

• Market overview of Credit CPPI
• Portfolio Insurance Strategies and CDOs
• An introduction to Credit SPI/CPPI
• The Loss-Market-Model: Pricing Portfolio-Credit - Interest-Rate Hybrids and exotic Portfolio Credit Derivatives
• Applications of the Model: Forward-starting CDOs, Options on Indices, Options on Tranches, Hybrid Products with Credit Correlation Components.
• Dynamic Credit Correlation Models and Hybrids
• Intrinsic Credit-Equity Hybrids: EDSs and Convertible Bonds
• Extrinsic Hybrids: Mezzanine Swaps and Credit Linked Options

1. Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment by Kenneth J. Singleton

   “This book fills a huge gap. It goes beyond the detailed description of methodology to provide a critical overview of findings in the literature. As a result, it not only offers the state of the art, but identifies the paths for future research—an invaluable textbook feature. With more than twenty-five years’ worth of incredibly influential research on the topic, Kenneth Singleton was the perfect person to write it.”

   —Mikhail Chernov, Columbia University
   
   

   In the first few chapters of Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment, Kenneth Singleton provides an in-depth treatment of the econometric methods used in analyzing financial time-series models. He then explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities.

   Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures.

   As an added feature, Singleton includes, throughout the book, interesting titbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton’s previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.

   About the Author:
   
   

   Kenneth J. Singleton is Adams Distinguished Professor of Management and Senior Associate Dean for Academic Affairs at the Graduate School of Business, Stanford University. A Fellow of the Econometric Society, he is the recipient of the organization’s Frisch Prize. He is also the recipient of the Smith-Breeden Distinguished Paper Award from the Journal of Finance. Singleton is a director of the American Finance Association and was previously an editor of the Review of Financial Studies. He is coauthor, with Darrell Duffie, of Credit Risk: Pricing, Management, and Measurement (Princeton).

   Publication date: April 19, 2006
   http://www.pupress.princeton.edu/titles/8171.html