Nobel Special 10th Annual Meeting Laureate Special Guest Address Discounts For Robert Engle, NYU Institutional Investors STERN SCHOOL OF BUSINESS & NOBEL Cutting-Edge Innovations In Derivatives LAUREATE Pricing, Hedging, Trading & Portfolio Management Plus! For Over 100+ Investment & Commercial Banks, Fund Managers, Speakers Including: Funds & Institutional Investors Renaissance Technologies Plus! Don’t Miss Presentations From These Renowned Global Financial Minds Royal Bank Of Scotland Merrill Lynch BNP Paribas JPMorgan Chase DrKW Pioneer Alternative Investments Abbey NYU Stern School of Business UBS Societe Generale Peter Carr John Hull Riccardo Emanuel Derman, Nassim Taleb Robert Shiller, Bill Fung , , , , Lehman Brothers Head of Quantitative Professor of Rebonato, Professor of Finance Founder Professor of Visiting Professor Research Derivatives & Risk Head of Group COLUMBIA EMPIRICA Economics LONDON University of Toronto BLOOMBERG Management Market Risk UNIVERSITY CAPITAL YALE BUSINESS HSBC UNIVERSITY ROYAL BANK OF UNIVERSITY SCHOOL Clinton Group OF TORONTO SCOTLAND Optioncity.net Laurel Ridge Asset Management Plus! Expert Insights From These Leading Derivatives Practitioners Citigroup Mako Investment Managers JD Capital Management Uniqa Alternative Investments Olsen CONSOB WestLB Bloomberg Moodys KMV Willowbridge Associates Freddie Mac Rajeev Misra, Andrew Harmstone, Rick Shypit, Martin St-Pierre, Jim Gatheral, Marek Musiela, Steve Ross, Credit Suisse First Boston Global Head of Head of European Executive Global Head of Head of Global Head of Professor of Alexandra Investment Credit Trading Derivatives & Director Structured Credit Quantitative Fixed Income Finance & Management DEUTSCHE BANK Quantitative MORGAN Derivatives Trading Analysis Research & Economics Research STANLEY BEAR STEARNS MERRILL LYNCH Strategies Team MIT SLOAN Azimuth Trust LEHMAN BROTHERS BNP PARIBAS Numerix Goldman Sachs Asset Plus! Management Don’t Miss Cutting-Edge Insights From Over 100 Leading Deutsche Asset Management Winton Capital Global Academics And Derivatives Practitioners Including: MIT Sloan Empirica Capital Andrew Matytsin, Principal, RENAISSANCE TECHNOLOGIES Greg Merchant, MD, Hd of European Derivatives Analytics, MathConsult Steve Ross, Professor of Finance & Economics, MIT SLOAN DEUTSCHE BANK FX-Concepts John Zhao, Senior Trader, CLINTON GROUP Javier Martin-Artajo, Global Hd of Credit Derivatives Trading & Hd ABN Amro Olivier Ledoit, Hd of Statistical , Global Equity Proprietary of Quantitative Research, DRESDNER KLEINWORT WASSERSTEIN Nomura Trading Group, CREDIT SUISSE FIRST BOSTON Dilip Madan, Finance Prof., UNIVERSITY OF MARYLAND Morley Fund Management Mark Broadie, Prof. of Business, COLUMBIA GRADUATE SCHOOL OF David Modest, MD, Chief Risk Officer, AZIMUTH TRUST Summit Systems BUSINESS Philipp Schönbucher, Assistant Prof., ETH ZURICH Bank Of America Espen Haug, Proprietary Derivatives Trader, JPMORGAN CHASE Frances Cowell, Hd of Derivatives Risk Management, London Business School ING Bank Nv Joaquim de-Lima, Global Hd of Equity Derivatives Research, HSBC MORLEY FUND MANAGEMENT Allianz Partners Marcus Overhaus Rick Shypit Executive Director, MORGAN STANLEY , MD, Global Hd of Quantitative Research, , OMERS DEUTSCHE BANK Eric Reiner, MD, Group Market Risk, UBS CDC Ixis Capital Markets Lorenzo Bergomi, Hd of Derivatives Research, SOCIETE GENERALE David Modest, MD & Chief Risk Officer, AZIMUTH TRUST Yale University Reza Hadizad, Fund Manager, Global Equity Arbitrage Fund, Stéphane Kourganoff, Global Hd. Fixed Income Derivatives Trading, Credit Agricole Indosuez PIONEER ALTERNATIVE INVESTMENTS CDC IXIS CAPITAL MARKETS Koch Supply & Trading Larry Abele, MD, Quantitative Strategies & Portfolio Engineering, Jesper Andreasen, Hd of Product Development, NORDEA MARKETS DEUTSCHE ASSET MANAGEMENT Ed Dunne, MD, WILLOWBRIDGE ASSOCIATES RBC Capital Markets Nordea Markets Morgan Stanley Plus! A NEW Dual-Streamed Trading Strategies Summit Examining: PI Asset Management Bear Stearns ‘Quantitative, Relative Value, & Strategies Barclays Capital For Hedge Funds, Investment Banks And Asset Managers’ NH Eurobuilding Hotel, Madrid Don’t Miss Four Intensive Masterclass Sessions With Leading Industry Gurus Main Conference: Plus! 26th & 27th May 2004 New Volatility and Correlation Recent Developments In The Advanced Explorations Into Pricing, Hedging & Trading The Trading Summit: 25th May 2004 Models for Financial Risk Valuation Of Credit Derivatives Interest Rate Derivatives Latest Volatility Products Workshop Sessions: Assessment and Derivatives Pricing Led by Professor John Hull, Led By: Leif Andersen, Bank of America Led By: 25th & 28th May 2004 Led by Robert Engle, University of Toronto Jesper Andreasen, Nordea Markets Steven Heston NYU Stern School Of Business Mark Broadie, Columbia Graduate University of Maryland Tel: +44(0) 20 7915 5100 School of Business Fax: +44(0) 20 7915 5101 [email protected]

Sponsors Media Partners www.icbi-derivatives.com TUESDAY 25TH MAY 2004 WEDNESDAY 26TH MAY 2004 PRE-CONFERENCE SUMMIT DAY ONE MAIN CONFERENCE DAY TWO

GLOBAL DERIVATIVES 08.00 Registration & Coffee TRADING SUMMIT 08.30 Chairman's Opening Welcome: The Latest Innovations In The New Financial Order: Risk In The 21st Century SPECIAL Quantitative, Relative Value, & Proprietary Trading Strategies For 08:40 Robert Shiller, Professor of Economics, YALE UNIVERSITY KEYNOTE ADDRESS Hedge Funds, Investment Banks, And Asset Managers GLOBAL DERIVATIVES 2004 HALL OF FAME ROUNDTABLE 08.30 Registration & Coffee Robert Engle, Professor of Finance, NYU STERN SCHOOL OF BUSINESS 08.45 Chairman's Opening Welcome 09.20 John Hull, Professor of Derivatives & Risk Management, UNIVERSITY OF TORONTO Brand New Hedge Fund Trading Research Nassim Taleb, Founder, EMPIRICA CAPITAL On The Nonlinear, -Liked Performance Of Hedge Fund Strategies: Robert Shiller, Professor of Economics, YALE UNIVERSITY Steve Ross, Professor of Finance & Economics, MIT SLOAN SCHOOL OF MANAGEMENT 09.00 An Empirical Characterization Bill Fung, Co-CEO, PI ASSET MANAGEMENT & Visiting Professor, TALKING TRADING PANEL LONDON BUSINESS SCHOOL 10.00 Rajeev Misra, Global Head of Credit Trading, DEUTSCHE BANK Proprietary Trading And Market Liquidity Lawrence Barwick, Head of Global Proprietary Trading, BANK OF AMERICA 09.40 Andrew Matytsin, Principal, RENAISSANCE TECHNOLOGIES Bill Fung, Co-CEO, PI ASSET MANAGEMENT & Visiting Professor, LONDON BUSINESS SCHOOL 10.40 Morning Coffee & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange 10.20 Morning Coffee Stream A Stream B Stream C Stream D ADVANCED CREDIT HEDGE FUND TRADING GLOBAL DERIVATIVES 2004 THE LATEST INNOVATIONS IN HEDGE FUND TRADING ADVANCED EQUITY TRADING STRATEGIES TRADER FORUM CREDIT RISK MODELLING STRATEGIES DERIVATIVES PRICING & Hedging Correlation Swaps Exploring The Sources Of HEDGING Rajeev Misra, 10.45 And Risk In Alternatives Investing TRADER ROUNDTABLE Compensation And Risk Control: Modelling Stock Price DEUTSCHE BANK David Modest, Examining Key Strategies For The Impact Of Compensation Dynamics In The Presence Of AZIMUTH TRUST LATEST Trading Exotic Derivatives RESEARCH Incentives On Risk Taking Default: Calibration & Under Tight Risk Constraints Behaviour Convertible Bond Pricing 11.00 Javier Martin-Artajo, DRKW Valuing CDO Tranches Steve Ross, Linking Equity & Credit Nasir Afaf, ING Without Monte Carlo MIT SLOAN SCHOOL OF Markets In Search Of Correlation: Evaluating Trimming Fat Tails: Using Risk Stephane Kourganoff, CDC IXIS MANAGEMENT Rick Shypit, The Latest Research On Modelling, Simulation Arbitrage And Equity Derivatives Dariush Mirfendereski, John Hull MORGAN STANLEY Distribution And Correlation In CDO , To Enhance Portfolio Returns BARCLAYS CAPITAL UNIVERSITY 11.25 Equity Reza Hadizad, INNOVATIONS IN INTEREST OF TORONTO Peter Rappoport, PIONEER ALTERNATIVE RATE TRADING JP MORGAN INVESTMENTS Talking Volatility Trading In Valuing & Hedging Volatility Overcoming The Practical Today's Dynamic Marketplace: Derivatives

Modelling Challenges To SPECIAL EXTENDED SESSION Examining New Products And Jim Gatheral, 12.05 Lunch 11.35 Accurately Pricing & Trading New Horizons MERRILL LYNCH Inflation-Linked Swaps VOLATILITY TRADING Examining The Sharpe Ratio And Pav Sethi, Alex Puaca, JD CAPITAL MANAGEMENT Sortino Ratio As Successful AFA DART Successfully Trading, Pricing & Measures Of Investment Quality Hedging Volatility And Variance And Identifying The Optimum Hedging When Perfect Assessing The Latest Innovations Inflation Derivatives: Pricing Replication Is Not Possible: The Characteristic Curve Swaps Method Of Measuring Investment And Hedging In A Fast- In Pricing Mortgage Backed 13.30 Nathaniel Newlin, Performance Evaluating The Hedging Securities & The Key Hedging Approach to Arbitrage-Free 12.10 Expanding Market Performance Of Complex Credit Time Interpolation of Volatility LAUREL RIDGE ASSET David Harding, Dariush Mirfendereski Implications , Derivatives Models In Practice Eric Reiner, MANAGEMENT WINTON CAPITAL MANAGEMENT BARCLAYS CAPITAL Nazir Dossani, Riccardo Rebonato, FREDDIE MAC UBS Evaluating The Heterogenous ROYAL BANK OF SCOTLAND Assessing As A Derivatives Contract Versus The 12.45 Lunch & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange 14.10 Key Successful Strategy Modern Political Environment Assessing The Latest Practical Examining Fast Monte Carlo Robert Hanna, Edward Dunne, Negative Probabilities And Other Hedging With Options In The MAKO INVESTMENT MANAGERS WILLOWBIRDGE ASSOCIATES Methods For Reducing Trading Methods For Accurate Estimation Non- Conventional Ideas Applied Presence Of Jumps And Costs And Implementing Best Of Tail Probabilities And Risk In Finance Stochastic Volatility Honey, I Shrunk The Sample 14.15 Execution Strategies For Measures For Portfolio Credit Risk Espen Haug, Peter Carr, Enhanced Client Benefit Paul Glasserman, Covariance Matrix! : Innovations In Identifying Optimal Strategies For JP MORGAN CHASE BLOOMBERG LP Harish Neelakandan, COLUMBIA GRADUATE Measuring Correlations To Increase Hedging Credit In A Volatility The Sharpe Ratio Of Trading FX CONCEPTS SCHOOL OF BUSINESS 14.50 Driven Space Strategies With Large Numbers Of TRADING Panel Discussion Andrew Pernambuco, VOLATILITY VOLATILITY TRADING Evaluating Advanced Pricing & Exploring Successful Quantitative Implementing A Jump-Diffusion Stocks ALEXANDRA INVESTMENT New Advances In Volatility Olivier Ledoit Hedging Of Single and Portfolios Strategies For Arbitraging Model For Exotic Equity , MANAGEMENT Trading: Designing & CREDIT SUISSE FIRST BOSTON Of CDO Tranches Volatility Against Volatility & Products Implementing A Fast Three Factor David Li, Determining Whether There Is A Jesper Andreasen, 15.30 Afternoon Tea 14.50 Model For Enhanced Modelling CITIGROUP Perfect Hedge NORDEA MARKETS Of Correlation Products Innovations In Optimizing David Shelton, Espen Haug, How To Construct Fund-Of-Funds Silverio Foresi, JP MORGAN CHASE Quantitative Trading: Are Intraday CITIGROUP Portfolios And Structured Products GOLDMAN SACHS ASSET John Zhao, CLINTON GROUP Options The Next Big Innovation In Using A Robust Quantitative 15.50 MANAGEMENT Joe Zou, GOLDMAN SACHS Derivatives Trading? Framework Richard Olsen, Bernard Lee, Examining The Practical Variance Reduction For Prices PRODUCT INNOVATIONS & Calibration And Comparison Of OLSEN LTD IMPERIAL COLLEGE LONDON Challenges Of Volatility Trading In And Of Basket Default MODELLING Stochastic Volatility And Other Commodities: Assessing Swaps And Synthetic CDOs In Advanced Volatility Models 15.25 New Work On Modelling How To Screen Single Hedge Funds Peculiarities Of Option Pricing And The Li Model Curt Randall, SCICOMP FX/IR Hybrids New Research: Filtered Return Based On Statistical Techniques Hedging In Petroleum Markets Mark Joshi, Jim Gatheral, Phil Hunt, Processes, Asset Allocation and That Go Beyond Linear Regression Ilia Bouchouev, ROYAL BANK OF SCOTLAND MERRILL LYNCH WESTLB Vladimir Lucic, TD SECURITIES 16.00 Investment And Correlation KOCH SUPPLY & TRADING Dilip Madan Youngju Lee, 16.00 Afternoon Tea & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange UNIVERSITY OF AlLLIANZ HEDGE FUND MARYLAND PARTNERS Market-Making Versus Relative Examining Archimedean Copulas PRODUCT PANEL: Examining Two Sided Value Trading: How Much Do And Contagion In Credit Risk Managing Innovative Barrier/Exit Problems With Understanding Managed Futures 16.20 We Let A Model Tell Us? Portfolios Financial Products Jumps Dongning Qu ABBEY And The Value Of Divergent Mike De Vegvar, Javier Martin-Artajo, Chair: , Alan Lewis, 16.40 UBS DRKW Frances Cowell, MORLEY OPTIONCITY.NET Trading FUND MANAGEMENT SPECIAL EXTENDED SESSION Mark Rzeczynski, Andrew Brogden, ABBEY JW HENRY Joe Zou, GOLDMAN SACHS 17.20 End Of Summit VOLATILITY OPTIMUM PORTFOLIO MODELLING MANAGEMENT USING Exploring The Latest Practical DERIVATIVES Innovations In High-End Techniques For Pricing The Numerical Techniques For The Forward Skew In Cliquet Understanding Volatility A Quantitative Approach To Pricing Of Derivative And 16.55 Detect Market Abuses: Options & Determining The As An Asset Class Structured Financial Instruments Optimal Hedging Strategy "This Is The Must Andrew Harmstone, The Surveillance Automatic Andreas Binder, LEHMAN BROTHERS Integrated System (Sais) MATHCONSULT Attend Event - Global Marcello Minenna, CONSOB INVESTOR Derivatives Showcases PERSPECTIVE Evaluating The Use Talking Exotics: The Latest Cutting- Of Derivatives In Trading & Examining New Innovations In Investment Portfolios: Can The Econometrics Of Examining The Optimal Use Of Pricing (& Mis-pricing), edge Research & 17:30 Investors Implement Responsible Hedging, & Trading The Latest Non-Gaussian Stochastic Derivative Programs That Suit Market Models In Practical Volatility Models Hedging Generation Of Exotic Equity Thinking From The And Protect Their Investments Derivative Products Alireza Javaheri, Larry Abele, DEUTSCHE Stephen Dodds, RBC CAPITAL MARKETS BARCLAYS CAPITAL Andrew Harmstone, Leaders In Global Finance" ASSET MANAGEMENT LEHMAN BROTHERS Robert Fortheringham, OMERS David Samuel, RBOS Frances Cowell, MORLEY John Hull, FUND MANAGEMENT Lorenzo Bergomi, SG Professor of Derivatives & Risk Management Champagne Round Tables 18.05 These are a chance to discuss the latest issues with leading experts over a glass of champagne UNIVERSITY OF TORONTO Space is limited, so please sign up at the Registration desk from Morning Coffee 2 19.00 Gala Cocktail Party THURSDAY 27TH MAY 2004 TUESDAY 25TH MAY 2004 MAIN CONFERENCE DAY THREE PRE-CONFERENCE WORKSHOP

08.30 Coffee & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange 09.00 Chairman's Opening Welcome RECENT DEVELOPMENTS IN THE 09.00 09.10 Quantitative Finance: How We Got Here, Where We’re Going VALUATION OF CREDIT DERIVATIVES Emanuel Derman, Professor, COLUMBIA UNIVERSITY - Led By 09.45 On The Cognitive Aspects Of The Preference For Negative Skewness Nassim Taleb, Founder, EMPIRICA CAPITAL 17.00 John Hull Global Derivatives Financial Minds Panel University of Toronto Exploring Trends & Developments In Volatility & Correlation FINANCIAL see p4 Emanuel Derman, Professor, COLUMBIA UNIVERSITY MINDS REVEALED 10.20 Jim Gatheral, Head Of Quantitative Analysis, MERRILL LYNCH Riccardo Rebonato, Head Of Group Market Risk ROYAL BANK OF SCOTLAND Peter Carr, Head Of Quantitative Research, Bloomberg LP & Director Of Math Finance, COURANT INSTITUTE NYU Greg Merchant, Managing Director, Head of European Derivatives Analytics, DEUTSCHE BANK FRIDAY 28TH MAY 2004 11.00 Morning Coffee & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange Stream B POST-CONFERENCE WORKSHOP Stream A ENHANCED PRICING & Stream C Stream D INNOVATIONS IN VOLATILITY HEDGING & TRADING CREDIT HYBRID MODELLING & THE LATEST INNOVATIONS IN TRADING DERIVATIVES & CDOs PRICING INNOVATIONS INTEREST RATE MODELLING NEW VOLATILITY AND CORRELATION Option Valuation With Overcoming The Challenges Of Reusing Interest Rate Models For Mathematical, Empirical And MODELS FOR FINANCIAL RISK Conditional Skewness Calibrating & Fitting The Smile Better & Faster Hybrid Pricing Practical Issues With Volatility 09.00 Steven Heston For More Accurate Pricing Of Tom Hyer, Modelling ASSESSMENT AND DERIVATIVES 11.30 UNIVERSITY OF MARYLAND Exotic Hybrid Equity-Credit UBS Marek Musiela, - PRICING Products BNP PARIBAS Led By Marcus Overhaus, 17.00 DEUTSCHE BANK Robert Engle NEW RESEARCH NYU Stern School of Business NOBEL LAUREATE Modelling Default Contagion Linked Bond Successfully New Empirical And see p4 Measuring The Value Of And Hedging Basket And Synthesising A Euro Inflation Computational Results In Dynamic Correlations For Portfolio Credit Derivatives Using a Combination Of Credit & The Relative Importance Of Asset Allocation Philipp Schönbucher, Inflation-Linked Derivatives Jumps In Returns, In Stochastic INTEREST RATE DERIVATIVES: 12.35 Robert Engle ETH ZURICH Rashid Zuberi, Volatility And In Volatility NYU STERN SCHOOL OF DEUTSCHE BANK Mark Broadie ADVANCED EXPLORATIONS INTO BUSINESS COLUMBIA GRADUATE 09.00 SCHOOL OF BUSINESS MODELS THAT WORK AT WORK - Led By 13.10 Lunch & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange 17.00 Leif Andersen, Bank of America Assessing How The Current Evaluating The Benefits & Theory And Calibration Of Jesper Andreasen, Nordea Markets Generation Of Exotic Models Limitations Of Using Monte Lognormal Swap Market Models Evaluating An Interest Rate Combine With Trading Reality Carlo Simulation To Measure & And Smile-Consistent Modelling Framework in Mark Broadie, Nick Nassuphis, Manage Risk Exposure In CDOs Discrete Rolling Spot Measure 14.30 Generalisations Columbia Graduate School of Business CREDIT SUISSE FIRST Of CDOs & Determining The Stefano Galluccio, Alexandre Antonov see p5 BOSTON Future Modelling Challenges BNP PARIBAS NUMERIX David Beaglehole, CDOs DEUTSCHE BANK

Pricing Options On Realized Examining Key Strategies For The Explorations Into The Co- Examining An Effective Advanced Theoretical Methods & Volatility And Variance – Optimum Valuation Of Synthetic Movement Of Rates & Equities Volatility Technique For Practical Innovations For 09.00 Evaluating A New Pricing / CDOs And Successfully Hedging Piotr Karasinski, Stochastic Volatility BGM PRICING, HEDGING & TRADING THE Hedging Methodology 15.05 The Positions CITIGROUP Philippe Balland - Zhenyu Duanmu, Martin St-Pierre, MERRILL LYNCH LATEST VOLATILITY PRODUCTS MERRILL LYNCH BEAR STEARNS 17.00 Led By 15.40 Afternoon Tea & Opportunity To Visit The Derivatives & Risk Management 2004 Technology Exchange Steven Heston University of Maryland INNOVATIONS IN VOLATILITY Examining Key Developments ADVANCED EQUITY see p5 PRICING & MODELLING In Accurately Estimating DERIVATIVES PRICING, Correlations & Volatilities Of HEDGING & TRADING New Work On Credit Spreads For The Assessing The Suitability Of The 'Numéraire Alignment' Pricing Options On Realised Valuation Of CDO Tranches The Current Generation Of Optimisation Of BGM Model Variants Loic Fery, Models For Pricing Equity Emmanuel Fruchard, Dilip Madan CREDIT AGRICOLE INDOSUEZ Global Derivatives & Risk 16.00 Default Swaps SUMMIT SYSTEMS UNIVERSITY OF Joaquim de-Lima, MARYLAND Management 2004 HSBC BRAND NEW Innovations RESEARCH Advisory Board In Using The Framework Of Understanding And Variance Minimization Versus The advisory board provided insightful feedback, comments Developing A Consistent Stochastic Volatility, Local Implementing Volatility And Spread pv01 and advice in the 2004 programme development Approach For Handling The Volatility And Correlation Correlation Ali Hirsa, 16.35 Forward Smile Structures As Powerful Tools In Peter Carr, Head of Quantitative Research, BLOOMBERG Bruno Dupire, MORGAN STANLEY Chrif Yousiffi, The Analysis Of Compound BLOOMBERG LP John Hull, Professor of Derivatives & Risk Management, DRKW Options And Financial Product Innovations UNIVERSITY OF TORONTO Ken Yan, Riccardo Rebonato, Head of Group Market Risk, NOMURA ROYAL BANK OF SCOTLAND Emanuel Derman, Professor of Finance, International Models For Accurately Estimating Credit The Latest Innovations In COLUMBIA UNIVERSITY Assessing Volatility Model Interest Rates And Foreign Spreads From Option Prices Pricing & Hedging Cliquets, Nassim Taleb, Founder, EMPIRICA CAPITAL Robustness Exchange: A General Forward Starts & Other Exotic Paul Wilmott, Framework For The Unification Jim Gatheral, Head of Quantitative Analysis, 17.05 Equity Derivatives WILMOTT ASSOCIATES Of Interest Rate Dynamics And MERRILL LYNCH & Erwin Simons Stochastic Volatility Modelling Marek Musiela, Global Head of Fixed Income Research & ING BANK Lane Hughston, Strategies Team, BNP PARIBAS KINGS COLLEGE LONDON Steve Ross, Professor of Finance, Simulation Of CDOs MIT SLOAN SCHOOL OF MANAGEMENT Evaluating The Different Assessing The Latest Models Examining The Markov

Modelling Approaches For And CDO2s Steve Heston, Assistant Professor, for Accurately Calculating And Functional Model Under Smile 17.40 Pricing The Skew Of Corridor Volkan Kurtas, UNIQA UNIVERSITY OF MARYLAND

Valuing Dividend Risk In Dongning Qu, Products And The Latest ALTERNATIVE INVESTMENTS Structured Equity Products Bruno Dupire, Quantitative Research, BLOOMBERG “ ABBEY Techniques For Successfully & William Morokoff, Alex Lipton, Director, Quantitative Research, Managing Forward Volatility MOODYS KMV CITADEL INVESTMENT GROUP, LLC 18.15 Conference Ends Mark Broadie, Professor of Business, COLUMBIA GRADUATE SCHOOL OF BUSINESS Marco Avellaneda, Professor of Mathematics, “A uniquely comprehensive event - the best of its kind in Europe” COURANT INSTITUTE & Head Volatility Arbitrage Strategies, CAPITAL FUND MANAGEMENT Peter Carr, Bloomberg 3 Brand New Recent Developments In The Research Tuesday 25 May 2004 Valuation Of Credit Derivatives Led by: Professor John Hull, University of Toronto

Seminar Outline Reviewing The Modelling Of Default Determining the probability distribution of the kth to This seminar focuses on the recent innovations in the Correlation default. How to successfully value CDO tranches pricing of credit derivatives. It covers credit default swaps, Alternative ways of measuring default Assessing Cash CDOs vs synthetic CDOs copula models, methods for valuing Nth-to-default swaps, correlation synthetic CDOs, and CDS options. John Hull is well known Examining the relationship between correlation New Research In Options for his applied research and his clear presentational style. measures Exploring Options on an individual CDS His popular book "Options, Futures, and Other Derivatives," Survival time distributions Understanding alternative structures is now in its fifth edition. Exploring the use of copulas Conditioning on survival in the analysis Assessing Factor models and how to use them Analysing Extensions to options on baskets The generalized multifactor copula model Understanding Credit Default Swaps Understanding how Credit default swaps work Further Thoughts… Exploring Variations of the standard deal New Research On kth to Default CDSs Estimating risk-neutral credit rating transitions to value Evaluating Valuation and recovery rate assumptions and CDOs rating-dependent derivatives Examining the key alternative approaches to estimating How to value 1st, 2nd,...., Nth to default deals Do CDS spreads lead ratings? default probabilities Implementing the factor-based copula model without Using option volatilities to imply default Risk-neutral vs real world probabilities Monte Carlo simulation probabilities

About Your Masterclass Leader John Hull is the Maple Financial Group Professor of Derivatives and Risk Management in the Joseph L. Rotman School of Management at the University of Toronto. He is an internationally recognized authority on derivatives. Recently his research has focused on interest rate options, credit risk, and market risk. 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. He has acted as consultant to many North American, Japanese, and European financial institutions. He has written two books: Options, Futures, and Other Derivatives, which is in its fourth edition and Introduction to Futures and Options Markets, which is in its third edition. Both books have been translated into several languages and are widely used in trading rooms throughout the world. Professor Hull is the founder and current director of the Bonham Center for Finance at the Rotman School. He has won many teaching awards and was voted Financial Engineer of the Year by the International Association of Financial Engineers in 1999.

New Volatility And Correlation Models Friday

28 May 2004 For Financial Risk Assessment And Derivatives Pricing Led by: Professor Robert Engle, NYU Stern School of Business

Seminar Outline Introducing & Reviewing A New Model This workshop introduces and develops the latest volatility and correlation models. The workshop will open with the Nobel lecture on the ARCH model and then proceeds to Examining Tail Dependence Properties of DCC introduce the Dynamic Conditional Correlation or DCC model. In addition, applications to Understanding The Credit Risk Problem risk management, asset allocation and default correlations will be presented. These Importance of Tail Dependence for Risk Measurement applications will feature the advantages of daily updating for horizon risks. Providing Empirical Support Assessing Monte Carlo Performance and Econometric Evaluating Risk and Volatility: Econometric Models and Estimation Financial Practice Evaluating Software & Understanding Its Role A Review of Stockholm, December 2003 Assessing The True Performance Results Introduction to ARCH Models Applications to Risk Management and Options Pricing Asset Allocation Using Asset Allocation as a Test A NEW Model of Correlations: DCC Implementing Tests And Evaluating Performance Exploring The Family of DCC Models Some Empirical Estimates of Global Equity and Bond Correlations

About Your Workshop Leader Professor Robert F. Engle was awarded the 2003 Nobel Prize in Economic Science. Since 2000 he has held the Michael Armellino Professorship in the Management of Financial Services at the New York University Stern School of Business. Engle is an expert in time series analysis with a long-time interest in the analysis of financial markets. His research has produced such innovative statistical methods as ARCH, for which he was awarded the Nobel Prize, and cointegration, a collaboration with Professor Granger that was also cited in the prize. Further important econometric innovations include Band Spectrum Regression, common features, Autoregressive Conditional Duration (ACD), Conditional Autoregressive Value at Risk (CAViaR), and most recently Dynamic Conditional Correlation (DCC). Engle received the prize for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. His ARCH models have become indispensable tools not only for researchers, but also for analysts of financial markets, who use them in asset pricing and in evaluating portfolio risk. Engle has published more than 100 academic papers and three books. His interest in financial econometrics covers equities, interest rates, exchange rates and options. Currently he is developing methods to analyze large systems of assets, real time volatility, market microstructure, and extreme market movements. 4 Interest Rate Derivatives: Advanced Friday Explorations Into Models That Work At Work 28th May 2004 Led by: Leif Andersen, Global Co-Head GCIB Quantitative Research, Bank of America Jesper Andreasen, Head of Product Develpoment, Nordea Markets Mark Broadie, Professor of Business, Columbia Graduate School of Business

Implementation And Calibration Of Discretization of LM model The pricing and hedging of CMS options and swaps Discretization schemes for non-linear SDEs Spread and quanto options -Rate Models Simulation of stochastic volatility models Examining basic notation Exploring variance reduction techniques Markov Yield Curve Models For Exotic Interest Evaluating Classes of short-rate models; existence of reconstitution formulas Rate Products Pricing Bermudan Swaptions And Other Why Markov yield curve models when you have the multi Throw away those trees: finite difference implementations factor LMM? Forward, backward, and forward-from-backward induction Callables In LM Models Fact and fiction on factor dependence of exotic interest Calibration to forward curve and volatility structure Evaluating different techniques for doing American rate products Extensions to multiple factors; ADI scheme options in by Monte Carlo Which Markov yield curve models? Practical upper and lower bound techniques The Cheyette model and its numerical implementation Examining Libor Market Models Confidence intervals Calibration and consistency with the LMM: Auto Assessing the basic Libor market model; swap and spot Good exercise strategies for Bermudan swaptions; carry measures considerations correlation and mean reversion Pricing Bermudan options and other exotic interest rate Cap and swaption pricing formulas Exploring some numerical examples Understanding Skew extensions products Evaluating Stochastic volatility yield curve models Introduction to stochastic volatility extensions Implementing Stochastic Volatility Models for Successful strategies for correlation and volatility European Interest Rate Options calibration Exploring Some Tips And Tricks Of The Trade Using stochastic volatility to explain the smile in interest Estimating pathwise risk measures and other tricks for Assessing Monte Carlo Simulation Of Interest rate options markets accurate risk Explorations into empirical evidence Recursions for Bermudan swaptions and other exotics Rate Models Deciding which stochastic volatility model to choose Hedging: Static, dynamic, and mean reversion Understanding the basics Practical numerical implementation LM models: using Markovian projections as control variates

About Your Workshop Leaders Jesper Andreasen numerical methods, and credit derivatives. In 2001 portfolio optimization. Much of his research focuses Leif Anderesen Jesper Andreasen heads the Product Development Jesper received Risk Magazine's Quant of the Year on the design and analysis of efficient Monte Carlo Leif holds MSc's in Electrical and Mechanical Team at Nordea Markets in Copenhagen. The team is award. Jesper holds a PhD in methods for pricing and risk management. Professor Engineering for Technical University of Denmark; an responsible for development and implementation of from Aarhus University, Denmark. Broadie is editor-in-chief of the Journal of MBA from University of California at Berkeley; and a all derivatives models with in Nordea, covering the Computational Finance and serves as associate editor PhD in Finance from Aarhus Business School. He is areas of interest rates, credit, equities, foreign Mark Broadie for Mathematical Finance, Operations Research, and currently global co-head of the quantitative research exchange, and hybrid derivatives. Prior to this, Jesper Mark Broadie is a professor at the Graduate School of Computational Management Science. He has given group at Banc of America Securities. Before this, Leif has held positions in the quantitative research Business at Columbia University. He received a B.S. seminars and courses worldwide and has done spent 9 years at General Re Financial Products, departments of General Re Financial Products and from Cornell University and Ph.D. from Stanford extensive consulting for financial firms. Previously he developing and implementing pricing models for Bank of America in London. Jesper's research University. His research focuses on problems in the was a vice president at Lehman Brothers in their derivatives in a variety of financial markets. interest include yield curve models, volatility smiles, pricing of derivative securities, risk management, and fixed-income research group.

Advanced Theoretical Methods And

Friday The Practical Innovations For

28th May 2004 Pricing, Hedging & Trading The Latest Generation Of Volatility Products Led By: Steven Heston, Assistant Professor, University of Maryland

Don’t miss out on this unique opportunity to Examining The Key Criteria Of Stochastic Volatility Exploring The Key Features Of GARCH Models benefit from the expert insights of one of the Models Practical Option Valuation With A GARCH Model The Latest Model Estimation Techniques most renowned experts in the field of volatility Displaced Diffusion How To Calibrate Parameters To Fit Prices modelling and estimation. Constant Elasticity of Variance - Heston 1993 Using Discrete Data To Get Continuous-Time Parameters - Hull and White Practical Option Hedging Techniques The programme has been specifically designed Simple Valuation Of Variance Swaps With GARCH Jump Models to fully equip you with the very latest Exploring The Application To Affine Models Of Interest Rates Practical Spreadsheet Analysis Session theoretical thinking and state-of-the-art Implementing A Solution By Characteristic Functions Estimation of standard GARCH and an asymmetric GARCH on a practical techniques for option valuation and (Fourier Inversion) spreadsheet. Converting the discrete GARCH parameters to Overcoming The Obstacles To Simple Numerical Integration hedging. continuous parameters. - Some Neat Tricks This full-day course covers all aspects of the Option Valuation With Bubbles Successfully Hedging Volatility Risk critical pricing models, from the conceptual The Risk Premium of Volatility Practical Spreadsheet Analysis Session Understanding Why Implied Volatility Can Be a Bad Measure framework to practical implementation, and Using characteristic functions (Fourier inversion) to calculate of Relative Value from fundamental methods to the most recent option values for a jump model and for a simple 1-factor Vasicek Understanding The Application To Variance Swaps advances. fixed-income model.

NB – Practical spreadsheet exercises will form a Innovations In Volatility Estimation & Filtering Practical Spreadsheet Analysis Session key part of the course and delegates will require This session will address a particularly pressing issue for quants – Valuation of a variance swap. Using GARCH models to predict a laptop with Excel (including Solvers) namely how to estimate continuous-model parameters from future variance and then add up predicted variance over the life installed. discrete data. of the swap.

About Your Seminar Leader A globally renowned figure in financial mathematics, Steven Heston joined University of Maryland in 2002 as an Assistant Professor. Prior to this he was a vice-president in the Quantitative Equities Group at Goldman Sachs. He has also held teaching positions at several American Universities. He is best known for his work in the area of volatility modelling. He was recently in the Risk Magazine 50 "Hall of Fame" members for contribution to risk management. 5 contact:Exhibition [email protected] Opportunities Speaking And +44 20 7915 5603For 6 Trading Strategies Summit 11.25 10.45 10.20 09.00 08.30 Finance" Quantitative Best GatheringIn 09.40 Empirica Capital Nassim Taleb, ADVANCED CREDITTRADING STREAM iaca ru,Canada. Financial Group, currently ChairmanoftheBoard ofDirectors oftheMaple serves ontheboard offinancial servicescompaniesandis LLC.Healso LLCwithIvy Asset Management, Management, Billco-foundedPI Asset companies.In1997, andmajor foundations, internationalprivatebanks, families, management ofhedge fundportfoliosadvisinghighnetworth and foundedaconsultingfirm specializingintherisk heleftthehedge fundpartnership fund. Duringearly1994, investing sideoftheindustryin1991andco-foundedahedge United KingdomandtheStates.Billmoved tothe hetaughtfinance forseveral years inboththe Brothers, the investment bankingprofession in1985withLehman Finance from theUniversity ofManchester. Priortojoining andaPhDin Mathematics from theUniversity ofLondon, Bill Fung(Visiting Research Professor) hasaPhDin & VisitingProfessor, Bill Fung, Strategies: AnEmpiricalCharacterization Performance OfHedgeFund On TheNonlinear, Option-Liked Registration &Coffee JP MORGAN Peter Rappoport, And CorrelationInCDOEquity Latest Research OnModelling, Distribution In SearchOfCorrelation:EvaluatingThe MIT. MBA from theSloanSchool ofManagement, Philadelphia.Healsoholdsan the University ofPennsylvania, Mechanical EngineeringandaMSinComputerSciencefrom Europe andininterest rate swapstrading. Rajeev holdsaBSin Managing Director responsible forderivativesmarketing in Rajeev worked atMerrillLynch forseven years asa Bank, Global Corporate Bond Trading businesses. PriortoDeutsche Markets. ICTincludestheGlobalCredit Derivativesandthe inGlobal Rajeev istheHeadofIntegrated Credit Trading (ICT), DEUTSCHE BANK Rajeev Misra, Hedging CorrelationSwaps Morning Coffee equity trading strategies. where hefocusesondeveloping computerized fund managers, oneofthelargest model-drivenhedge principal atRenaissance, making andquantitativeproprietary trading. Heiscurrently a market credit risk, in building modelsforequityderivatives, Andrew Matytsinhasbeeninvolved During hisworkinfinance, RENAISSANCE TECHNOLOGIES Andrew Matytsin, Proprietary Trading AndMarket Liquidity TRADING SUMMIT–DAY 1 management ofderivativespositions Examining howliquidityaffects thetradingandrisk from theperspectiveofaproprietarytrader Advantages andshortcomingsofvariousmarketstructures Valuing liquidityrelativetotraditionalassettypes The roleofhedgefundstrategiesinliquidityformation fund riskfactors. Integration oftheseoption-replicationmodelstohedge Proposing aunifyingscheme Extending theexistingresults and thechoiceofleverage. the strategiesused,marketstowhichtheyareapplied Hedge fundperformanceisdrivenbythreekeyvariables- Co-CEO, Minds -The First Rate Event With "A First Rate Head ofIntegrated Credit Trading, LONDON BUSINESSSCHOOL PI ASSETMANAGEMENT Head ofQuantitativeStrategy Group, Principal, To Yourself Promote To ThisFantastic Audience Contact [email protected] +44 2 Hedge Fund Brand New Research PRE-CONFERENCE TRADINGSTRATEGIESPRE-CONFERENCE SUMM MAKO INVESTMENTMANAGERS 13.30 12.05 14.50 14.10 15.50 15.30 Olsen Associates Proprietary TradingGroup, fund. with theECUGroup plcwere hemanaged avolatility-trading new hedge funds.Mr. Hannawaspreviously aseniortrader group. Healsoprovided indepth"startup"servicestovarious was headofmarketing fortheinternationalequityfinance Lynch International [inLondon].From 1993-2000MrHanna equity finance. Priortothathespentseven years withMerrill he wasresponsible forsalesofbothdomesticandinternational Fenner andSmith[inNew York] Pierce, where Merrill Lynch, hespenttwoyears with manager atMako Investment Manager, management. Priortohisappointmentastheseniorinvestment Robert Hannahasover 20years experience inthearea offund Robert Hanna, Successful Strategy Assessing Volatility ArbitrageAsAKey trading. andevent-driven convertible bondtrading, volatility trading, Ridge isamulti-strategy fundthatspecialisesin has adegree inEconomicswithhonours from Harvard. Laurel andworked intheFXOptionsGroup. He Derivatives Group, wasaseniortrader intheCommodities Equity Derivatives, Mr. Newlin managed allUSIndex TradingJP Morgan, for at trading intheEquityFinancial Products Group. Previously, included proprietary dispersion strategies andIndex volatility Managing Director forBankof America. Hisresponsibilities Mr. Newlin wasa Management. PriortojoiningLaurel Ridge, Nathaniel Newlin iscurrently apartnerofLaurel Ridge Asset LAUREL RIDGEASSETMANAGEMENT Nathaniel Newlin, Volatility AndVariance Swaps Successfully Trading, Pricing&Hedging LUNCH spread of2basispoints. a execution capabilityfortransactions assmall as1USData trading platformoffering continuousinterest rate payments with statistical trading style. OANDA Corpoperates acurrency advisor tocurrency hedge fundfollowingaquantitative providing anoverview oftheirpioneeringwork. OlsenLtdisan ‘Introduction at Academic Press toHigh Frequency Finance’ Dr. Olsenandhisteampublishedabookwiththetitle 2001, Dr. Olsenfounded OlsenLtd.In and OANDA Corp.In1985, Dr. Richard OlsenistheChiefExecutive Officer ofOlsenLtd Richard Olsen, Innovation InDerivativesTrading? Trading: AreIntradayOptionsTheNext Big Innovations InOptimisingQuantitative AFTERNOON TEA basedinLondon. Boston, the EquityProprietary Trading Group ofCredit SuisseFirst these three fields. Heiscurrently HeadofStatistical Arbitrage in and hasbeenpublishedbythetopacademicjournalineach of andEconomics, Statistics, research spansthefields ofFinance, Professor attheUniversity ofCaliforniaLos Angeles. His OlivierLedoittookthepositionofFinance Technology, After receiving hisPhDfrom theMassachusetts Instituteof CREDIT SUISSEFIRSTBOSTON Olivier Ledoit, Of Stocks Of Trading LargeNumbers StrategiesWith Correlations To IncreaseTheSharpeRatio Matrix: InnovationsInMeasuring Honey, IShrunkTheSampleCovariance techniques Historical/implied volatilityanalysisusingGarch Inter-month realtionships Call/put relationships Inter-market spreads Dispersion Differences inexposure;Surface Arbitrage Volatility Indices: Vol Futuresvs. Variance Swaps; applications Index Variance: Spreadingvolatility;Dispersion ; ContractconsiderationsMargin calculations Stock Variance Swaps:Hedgeliquidityvs.SwapPricing Pros andconsofintradayoptions How isvolatilitycomputedforintra-dayoptions Systems architectureofboxoptiontradingplatform How totradeboxoptions Boxoption anewtypeofdigitaloption derivatives markets Analysis ofshareintradaytradinginspotand Bottom line:afreemethodtoboostyourSharperatio the optimalformula The keyquestionishowintenselytoshrink-wereveal towards theaveragecovariance You canreducethiserrorbyshrinkingallcovariances full oferror If therearemanyassets,thesamplecovariancematrixis Sharpe ratioofyourportfolio The covariancematrixisessentialformaximizingthe VOLATILITY TRADING Head ofStatistical Arbitrage Equity Senior Investment Manager CEO , Partner, , 16.00 14.10 13.30 12.05 11.25 10.45 SPECIAL EXTENDED SESSION Technology. Ph.D. degrees ineconomicsfrom theMassachusetts Instituteof School ofManagement atM.I.T. Mr. ModestholdsS.B.and Business School andiscurrently a Visiting Lecturer attheSloan derivative pricing. Mr. ModesthasalsotaughtattheStanford and madesignificant contributions inempirical finance and contributed publicationstonumerous academicfinance journals strategists focusedonbothfixed incomeandequity. Hehas firm’s financial technology management andinmentoring long/short equitystrategies. Hewasalsoactivelyinvolved inthe andquantitative warrant arbitrage, single-stock options, the firm’s relative valueequitybusiness includingconvertible, Mr. Modestwasresponsible forbuilding As aPartner atLTCM, group aswellalong/shortequityproprietary trading group. Modest created andoversaw thecapitalstructure arbitrage Mr.(LTCM). As aManaging Director atMorgan Stanley, groups atMorgan Stanley andLong-Term CapitalManagement fund worldincludesthecreation andmanagement oftrading Mr. Modest’s extensive knowledge andexperience inthehedge AZIMUTH TRUSTCOMPANY David Modest, Alternatives Investing Exploring TheSourcesOfAlphaAndRiskIn other Journals. among QuantitativeFinance, Finance andStochastics, Finance, Finance. Recentcontributions haveappeared inMathematical Bachelier Finance SocietyandCo-EditorofMathematical the FDIC.HeisafoundingmemberandPresident ofthe Bloomberg and also servesasaconsultanttoMorgan Stanley, School ofBusiness.HespecialisesinMathematicalFinance. He Dilip MadanisProfessor ofFinance attheRobertH.Smith UNIVERSITY OFMARYLAND Dilip Madan, Multiple PriorsandAssetPricing Asset AllocationandDerivativeInvestment New Research: FilteredReturn Processes, WILLOWBRIDGE ASSOCIATES Edward Dunne, Environment Contract Versus The ModernPolitical Evaluating TheHeterogenousDerivatives Capital Management. statistical trading systems.In1997Davidfounded Winton Quantitative Research which wasdevoted tothedevelopment of Man remained atManuntil1996leadingabusiness unit, 1994 Davidsoldhisholdingin AHL toED&FManbut In years intooneoftheworld's leadingfutures trading firms. which developed over aperiod of Harding andLueck (AHL), in theCityasamarket analyst.In1987heco-founded Adam, specialising intheoretical physicsbefore developing hiscareer in 1982witha1stclassHonours degree inNatural Sciences graduated David from Cambridge Winton CapitalManagement. David Harding isthefounderandmajorityshareholder of CapitalManagement Winton David Harding, Performance Method OfMeasuringInvestment Quality AndIdentifyingTheOptimum Ratio AsSuccessfulMeasuresOfInvestment Examining TheSharpeRatioAndSortino LUNCH Manager atSBCO’Connor. Head of Analytics atNatwestMarkets andQuant/Project senior executive in Arbitrage Trading. PriortoHSBChewas In 1995hejoinedHSBCInvestment Bankwhere hewasthe setting upandrunningthespecialsituationsequitytrading desk. responsible for was aSeniorProprietary Trader atParibas, Reza Prior tojoiningPioneer Alternative Investments in2000, He istheprincipalfundmanager inthefield ofriskarbitrage. Dr RezaHadizadhas14years experience infinancial markets. PIONEER ALTERNATIVE INVESTMENTS Reza Hadizad, Returns And EquityDerivativesTo EnhancePortfolio Trimming FatTails: UsingRiskArbitrage Risk Management Portfolio Construction Manager Selection Strategy allocation Results on Asset Allocation andDerivativeInvestment Results onlonghorizonreturns Variance GammaChainFiltering primeronHiddenMarkovModelFiltering A The blackboxisout unless certifiable The comingscrutinyofderivativesnotexchangetraded Qualitative factors&Commonsense! Omega, advantages,disadvantages. Sortino ration,advantages,disadvantages. Sharpe ratio,advantages,disadvantages. Risk, volatility, otherwaysoflookingatrisk. Return, timescale,compoundrate. in riskarbitrage. Systematic useofderivativestoenhanceportfolioreturns asymmetric returns. Utilising complexpayoff structuresasameanstoimprove HEDGE FUNDTRADING STRATEGIES STREAM Professor ofFinance, Managing Director &ChiefRiskOfficer, Principal FundManager, Managing Director, Managing Director , contact:Exhibition [email protected] Opportunities Speaking And For +44 20 7915 5603 MIT MAIN CONFERENCE DAY TWO

14.50 Identifying Optimal Strategies For Hedging MAIN CONFERENCE DAY 2 Stephen Ross, Credit In A Volatility Driven Convertible Franco Modigliani Professor of Finance & Arbitrage Space Economics, 08.00 Registration & Coffee The convertible arbitrage space MIT SLOAN SCHOOL OF The role of volatility 08.30 Chairman’s Opening Welcome MANAGEMENT The role of credit SPECIAL Stephen A. Ross is a co-founder of Roll and Ross Methods of hedging credit in a volatility driven space 08.40 The New Financial Order: KEYNOTE ADDRESS Asset Management Corporation (Roll and Ross), What’s missing in this picture? Risk In The 21st Century a principal of IV Capital, Ltd. (IVC), and the Franco Modigliani Andrew Pernambuco, Principal, Robert Shiller, Professor of Finance and Economics at MIT. While he has worked on Professor of Economics a variety of topics in economics and finance, he is probably best ALEXANDRA INVESTMENT MANAGEMENT known for having invented the and the Andrew Pernambuco joined Alexandra Investment Management in YALE UNIVERSITY Robert J. Shiller has written about financial markets, behavioural Theory of Agency, and as the codiscoverer of risk neutral pricing and May 2001 as a Principal, and leads the firm’s structured product and of the binomial model for pricing derivatives. Roll and Ross is one of business development initiatives. He was formerly Head of US Equity economics, macroeconomics, real estate, statistical methods and public attitudes, opinions and moral judgements regarding markets. the leading quantitative financial management firms in the world, and Derivatives Sales and Marketing at KBC Financial Products, a it is the leading firm applying the APT (Arbitrage Pricing Theory) wholly owned subsidiary of KBC Bank (formerly Kredietbank) the His book "Irrational Exuberance" (Princeton University Press,2000, Broadway Books 2001) is an analysis and explication of the stock invented by Ross and developed in collaboration with the other co- second largest Belgian financial institution. There he was responsible founder of the firm, Professor Richard Roll of UCLA. for providing equity finance and structured product solutions to market boom since 1982. It won the Commonfund prize 2000 and hedge funds, money managers, insurance companies and was a New York Times non-fiction bestseller. Professor Shiller is co- corporations in the . Andrew has 15 years of experience founder of Case Shiller Weiss, Inc in Cambridge, Mass., and 10.00 TALKING TRADING PANEL TALKING in the area of Equity Derivatives, Arbitrage and Financial Advisory. economics research and information firm, and a co-founder of Macro Prior to joining KBC, he was for 8 years, the Head of North and Securities Research LLC in Cambridge which promotes Rajeev Misra, TRADING South American Equity Derivatives Sales and Marketing at Société of unusual risks. Head of Integrated Credit Trading, PANEL Générale in New York. DEUTSCHE BANK Rajeev is the Head of Integrated Credit Trading (ICT), in Global Markets. ICT includes the Global Credit Derivatives and the Global 15.30 AFTERNOON TEA 09.20 GLOBAL DERIVATIVES 2004 HALL OF FAME ROUNDTABLE HALL Corporate Bond Trading businesses. Rajeev joined Deutsche Bank in 1997 as a Managing Director and Head of Structured Credit Sales. 15.50 How To Construct Fund-Of-Funds Portfolios OF FAME Robert Engle, Prior to Deutsche Bank, Rajeev worked at Merrill Lynch for seven And Structured Products Using A Robust years (New York and London), as a Managing Director responsible Quantitative Framework Professor of Finance, for derivatives marketing in Europe and in interest rate swaps Alternative Sharpe Ratio - Adjusting for Stochastic Term and NYU STERN SCHOOL OF trading. Rajeev holds a BS in Mechanical Engineering and a MS in Tail Risk BUSINESS Computer Science from the University of Pennsylvania, Philadelphia. Aggregation from Positional Information Professor Robert F. Engle was awarded the He also holds an MBA from the Sloan School of Management, MIT. 2003 Nobel Prize in Economic Science. Since Pricing and Risk Management of Structured Products 2000 he has held the Michael Armellino Lawrence Barwick, Bernard Lee, Researcher, Professorship in the Management of Financial Services at the New Head of Global Prop. Trading, CENTRE FOR QUANTITATIVE RESEARCH, York University Stern School of Business. Engle is an expert in time BANK OF AMERICA IMPERIAL COLLEGE LONDON series analysis with a long-time interest in the analysis of financial Lawrence Barwick is the founder of systematic trading strategies at Bernard Lee is Researcher at the Centre for Quantitative Finance at markets. His research has produced such innovative statistical Bank of America. Lawrence has been using automated investment Imperial College, University of London, and Co-Founder of Hedge methods as ARCH, for which he was awarded the Nobel Prize, and techniques for over 10 years. He is currently responsible for a Fund Solution.Com. Until recently, he was Principal and Head of cointegration, a collaboration with Professor Granger that was also substantial part of the global banking group’s strategic risk Quantitative Research at Allianz Hedge Fund Partners. He remains cited in the prize. Further important econometric innovations positioning in world-wide capital markets. Portfolios include Foreign as a full-time consultant to Allianz Hedge Fund Partners. For years, include Band Spectrum Regression, common features, Autoregressive Exchange, Interest Rate and Bond Futures and Emerging Market Bernard has been active in the field of quantitative finance. Bernard Conditional Duration (ACD), Conditional Autoregressive Value at Currencies. Strategies employed cover a wide variety of styles is known by the industry to be one of the chief architects of the Risk (CAViaR), and most recently Dynamic Conditional Correlation including long-term trend-following, econometric analysis, short- Panorama Asset Management module. (DCC). Engle received the prize for his research on the concept of term opportunistic positioning and high frequency trading. autoregressive conditional heteroskedasticity (ARCH). He 16.00 How to Screen Single Hedge Funds Based on developed this method for statistical modeling of time-varying Bill Fung, Co-CEO, Statistical Techniques That Go Beyond Linear volatility and demonstrated that these techniques accurately capture PI ASSET MANAGEMENT Regression and Correlation the properties of many time series. His ARCH models have become & Visiting Professor, LONDON BUSINESS SCHOOL indispensable tools not only for researchers, but also for analysts of Statistical Properties of "Good" Hedge Funds See page 6 for biographical details financial markets, who use them in asset pricing and in evaluating Quantitative Classification Criteria portfolio risk. Currently he is developing methods to analyze large Dependency on Market versus Simple Correlation to systems of assets, real time volatility, market microstructure, and 10.40 MORNING COFFEE & OPPORTUNITY TO VISIT Market extreme market movements. THE DERIVATIVES & RISK MANAGEMENT 2004 Draw-Down Risk Modelling TECHNOLOGY EXCHANGE Youngju Lee, Vice President Quantitative Research, ALLIANZ HEDGE FUND PARTNERS John Hull, Youngju Lee is Vice President of Quantitative Research at Allianz Professor of Derivatives & Risk Management, STREAM A – GLOBAL DERIVATIVES 2004 Hedge Fund Partners, a San Francisco-based hedge fund of fund UNIVERSITY OF TORONTO TRADER FORUM investment management firm. Prior to joining Allianz, she worked at John Hull is the Maple Financial Group Henry Capital Management, an options trading hedge fund where Professor of Derivatives and Risk Management was responsible for quantitative research. In addition, she has 11.00 Trader Roundtable: Examining Key Strategies in the Joseph L. Rotman School of Management extensive experience in teaching finance and statistics. Youngju For Trading Exotic Derivatives Under Tight Risk at the University of Toronto and Director of the received a Masters and Doctorate degree in Statistics from the Bonham Center for Finance. He is an internationally recognized Constraints University of Pittsburgh as well as a Masters degree in Financial authority on derivatives and has many publications in that area. Stéphane Kourganoff, Global Head of Fixed Income Engineering from the University of California, Berkeley. She is an Recently his research has been concerned with credit risk, executive Derivatives Trading & Financial Analytics, actuary by training and holds the Financial Risk Manager stock options, volatility surfaces, market risk, and interest rate CDC IXIS CAPITAL MARKETS designation. Her current research includes measures of hedge fund derivatives. He was, with Alan White, one of the winners of the Stéphane Kourganoff is Global Head of Fixed Income Derivatives Trading performance, style allocation, and default risk. Nikko-LOR research competition for his work on the Hull-White and Financial Analytics for CDC IXIS CAPITAL MARKETS interest rate model. He has written two books "Options, Futures, and (Paris/London/New York/Tokyo). He joined CDC back in 1990 where he 16.40 Understanding Managed Futures And The Other Derivatives" (now in its fifth edition) and "Fundamentals of founded the derivatives trading department. His responsibilities Value Of Divergent Trading Futures and Options Markets" (now in its fourth edition). Both books progressively grew to encompass swaps trading, options, complex options, Why do large price dislocations occur in an uncertain world? (published by Prentice Hall) have been translated into several fx and credit derivative hybrids, as well as derivatives Models and systems Why trend-following works as "fast and frugal" decision- languages and are widely used in trading rooms throughout the for all locations within CDCICM. In his former life, between 1984 and making? world. He has won many teachingawards, including University of 1990, Stéphane Kourganoff worked for Credit Lyonnais first in Fixed Why is managed futures more than just being long volatility? Toronto's prestigious Northrop Frye award, and was voted Financial Income origination and then as head of derivatives marketing (Paris). He is a graduate from IEP Paris, specialized in Tax and Finance, 1984. Why do managed futures programs give you a non-correlated Engineer of the Year in 1999 by the International Association of Financial Engineers. return? Nasir Afaf, Head of Currency Options Trading, Mark Rzepczynski, President & Chief Investment Officer, ING BANK NV J W HENRY Nasir Afaf joined ING in 2000 as an exotic options trader and became Dr. Mark S. Rzepczynski is the President and Chief Investment Officer Nassim Taleb, head of currency options trading in Oct 2002. Nasir writes all his own of JWH and a member of the JWH Investment Policy Committee. Dr. Founder, models/risk systems called VolPro which he uses at ING. Prior to his Rzepczynski is also a principal of Westport Capital Management EMPIRICA CAPITAL current role, Nasir was a quant working on Global options in the Fixed Corporation, Global Capital Management Limited and JWH Nassim Nicholas Taleb works at the intersection Income and Leverage Funds team at CSFB . Nasir was also an Investment Management, Inc., all affiliates of JWH. Currently he of theory and practice. He started his career as Emerging markets FX options trader At Deutsche bank responsible for serves as a member of the board of the Futures Industry Association. a trader (including the Chicago pits) and all eastern Europe and South African books and when at Refco Capital Before joining JWH in May 1998, he was Vice President and Director subsequently became involved in the unique Markets he helped set up the multi asset OTC derivatives desk. of taxable credit and quantitative research in the fixed income division combination of applied research and trading. He is the founder of of Fidelity Management and Research from May 1995 to April 1998, Empirica LLC a volatility research laboratory and trading operation Javier Martin-Artajo, Global Head of Credit Derivatives where he oversaw credit and quantitative research recommendations in New York. He is also adjunct Professor of Mathematics in Finance Trading & Head of Quantitative Research, for all Fidelity taxable fixed income funds. From April 1993 to April at the Courant Institute of Mathematical Sciences of New of York DRKW 1995, he was a Portfolio Manager and Director of Research for CSI University. Taleb held trading positions with major derivative houses See page 8 for biographical details Asset Management, Inc., a fixed-income money management (CSFB,UBS, Paribas, Bankers Trust among others) and worked subsidiary of Prudential Insurance. Dr. Rzepczynski has a BA (Cum independently on the floor of the Chicago exchanges. His education Dariush Mirfendereski, Director Derivatives Trading, Laude) Honors in Economics from Loyola University of Chicago, and includes an MBA from Wharton and a PhD from University Paris- BARCLAYS CAPITAL an AM and PhD in Economics from Brown University. Dauphine. He was inducted into the Derivatives Strategy Hall of See below for biographical details Fame in 2001. Taleb is the author of Dynamic Hedging (Wiley 1997), and Fooled by Randomness (Texere 2001). Fooled by 17.20 END OF SUMMIT Randomness has been published in 14 languages, and has been the INNOVATIONS IN INTEREST RATE TRADING subject of 130 newspapers articles reaching 40 million readers, something unprecedented for a finance book. 11.35 Overcoming The Practical Modelling Challenges To Accurately Pricing & Trading "I Always Look Forward To Inflation-Linked Swaps Attending Global Robert Shiller, Alex Puaca, Product Director, Derivatives To Hear The Professor of Economics, AFA DART YALE UNIVERSITY Alex originally set the company up with Intercaptial some 15 years Latest In Research And Talk see above for biographical details ago. With nearly 20 years direct involvement in the markets. Alex is experienced in all aspects of derivatives – from model building, To The People That Do It." through trading to risk management. Currently his research interests are volatility skews and their inclusion in N-factor models, and high Emanuel Derman, Columbia University dimensional cross currency models.

To Promote Yourself To This Fantastic Audience Contact 0 7915 5603 [email protected] +44 20 7915 5603 7 For

Speaking And MAIN CONFERENCE DAY TWO

Exhibition Opportunities +44 20 7915 5603 12.10 Inflation Derivatives: Pricing And Hedging VOLATILITY MODELLING management and derivative securities. He is author of the book contact: [email protected] In A Fast-Expanding Market "Monte Carlo Methods in ", published by Four Pricing approaches for 4 Levels of Market Development Springer in 2003. Bootstrapping a forward index/inflation curve 16.55 Understanding Volatility As An Asset Class 14.50 Evaluating Advanced Pricing & Hedging Of FX Analogy Method Stock index volatility - can it diversify portfolio risk Is volatility predictable? Single And Portfolios Of CDO Tranches Short-end of the Index curve What is the correlation of volatility with stock/ bond Single tranche: basic structures and variations Practical hedging approaches returns Quick algorithm for pricing and risk calculation Future Trends Is it possible to "invest" in volatility? Risk mesurements and cash flow analysis Dariush Mirfendereski, Director Derivatives Trading, Andrew Harmstone, Head of European Derivatives & Hedging against default BARCLAYS CAPITAL Quantitative Research, LEHMAN BROTHERS Hedging against spread movement HOT Dariush Mirfendereski is the senior inflation derivatives trader David Li, Head of Credit Derivatives Research, at Barclays Capital. Based in London, he has been responsible Prior to his current role, Andrew spent 15 years working with TOPIC derivatives-based quantitative products on the asset management CITIGROUP for trading all UK and European inflation swaps and options David X. Li is currently a director and New York head of the Global since 1998. Dariush has also been involved in setting-up side with Credit Suisse Asset Management and JP Morgan Investment Management. He served as Contributor to the Credit Derivative Research at Citigroup where he leads the model Barclays' efforts in developing the new market for US CPI swaps development and client research activities to support Global Credit in 2003. Prior to joining Barclays, Dariush worked from 1993- Presidential Task Force on Market Mechanisms commissioned by President Reagan to study the 1987 Market Break. He has Derivative Trading business. He has worked for The RiskMetrics 1996 in San Francisco at EQECAT, a risk consultancy Group where he initiated and developed the first commercial CDO specializing in catastrophe risk assessment for insurance and served on the board of the Futures Industry Institute and the New York Options and Futures Society. model, CDO Manager. David is widely accredited for introducing reinsurance companies, where he was responsible for the the copula function into credit portfolio modelling as well as for modelling of the risk-simulation and insurance pricing models. writing the first paper on credit curve construction. 17.30 The Econometrics Of Non-Gaussian Stochastic Volatility Models David Shelton, VP Credit Derivatives Research, 12.45 LUNCH & OPPORTUNITY TO VISIT THE Estimation of the Likelihood Function for Non-Gaussian CITIGROUP DERIVATIVES & RISK MANAGEMENT 2004 Stochastic Volatility Models Within Credit Research David's main interests are pricing and TECHNOLOGY EXCHANGE Special case of Poisson Jumps and Variance Gamma-based hedging of CDOs and correlation products. For 5 years prior to models Citigroup David worked at Merrill Lynch and Natwest Global 14.15 Assessing The Latest Practical Methods For The Choice of the Optimization methodology Financial Markets on FX, hybrid FX interest rate and Credit products. David has a DPhil in Theoretical Physics from the Reducing Trading Costs And Implementing Comparison between Classical and Bayesian Methods University of Oxford. Best Execution Strategies For Enhanced Bias, Efficiency and Consistency of the Estimators Client Benefit Analysis of the Likelihood Sensitivities with respect to 15.25 Variance Reduction For Prices And Greeks Relationship Based – Develop Trust with Counterparties various Parameters Of Basket Default Swaps And Synthetic For Options, Pricing often tends to improve on side- Comparison between the Statistical and Risk-Neutral CDOs In The Li Model known business Distributions The Li Model Where possible, execute spreads – lower risk means better Application to Trading Strategies in Derivatives Importance sampling for baskets pricing Alireza Javaheri, Quantitative Analyst Global Equity Elliptic copulas “Interbank-like” execution – exchange deltas to simplify Derivatives, RBC CAPITAL MARKETS Importance sampling for synthetic CDOs dealers’ lives and manage your own spot risk Alireza Javaheri is a Quantitative Analyst with RBC Capital LIkelihood ratio method Markets. Prior to joining RBC Capital Markets he worked for The best prices come from dealers who “know their customer” Pathwise method for discontinuous payoffs Goldman Sachs and Lehman Brothers. He completed an M.Sc. Dealers often show axes – can substantially improve pricing from Massachusetts Institute of Technology in EE in 1994. CFA MARK JOSHI, Head of Model Evaluation, Harish Neelakandan, Portfolio Manager & Head of Chater-holder since 2000. Completing a Thesis on Stochastic ROYAL BANK OF SCOTLAND Options Trading, FX CONCEPTS Volatility and Particle Filtering at "Ecole des Mines de Paris". Mark Joshi is Head of Model Evaluation, Quantitative Research Mr. Neelakandan joined FX Concepts in 2001 to set up their Centre, Group Market Risk, Royal Bank of Scotland. He is options trading operation. Prior to this he was Senior Trader in responsible for researching derivative pricing, assessing model risk, the Options Group at Caxton Associates LLC, a New York-based STREAM B – THE LATEST INNOVATIONS doing model validation, and consulting on quantitative issues across hedge fund, where he ran a proprietary portfolio of currency and IN CREDIT RISK MODELLING the group. Mark has recently published the books "The Concepts ". equity index options. He has also served as Vice President at Merrill Lynch and Company where he managed plain vanilla and 11.00 Valuing CDO Tranches Without Monte Carlo exotic option portfolios. Mr. Neelakandan holds an M.S. in 16.00 AFTERNOON TEA & OPPORTUNITY TO VISIT Simulation THE DERIVATIVES & RISK MANAGEMENT Management from the MIT Sloan School of Management and an M.S. in Computer Science from the University of South Carolina. Generalized Copulas 2004 TECHNOLOGY EXCHANGE Factor Models Calculating the probability distribution of the time of the 16.20 Examining Archimedean Copulas And INNOVATIONS IN VOLATILITY TRADING Nth default Contagion In Credit Portfolios Valuing an Nth to default CDS analytically Towards a dynamic credit model Valuing tranches of cash CDOs and synthetic CDOs Relationship between intensity models and frailties 14.50 New Advances In Volatility Trading: analytically Designing & Implementing A Fast Three Archimedean copulas and frailties Numerical results A frailty approach Factor Model For Enhanced Modelling Of Impact of correlation, default probabilities, number of Correlation Products New developments in dynamic credit modelling . factors, etc Javier Martin-Artajo, Global Head of Credit Silverio Foresi, Senior Portfolio Manager, SPECIAL EXTENDED SESSION John Hull, Professor of Derivatives & Risk Management, Derivatives Trading & Quantitative Research, GOLDMAN SACHS ASSET MANAGEMENT UNIVERSITY OF TORONTO DRESDNER KLEINWORT WASSERSTEIN Silverio is a senior portfolio manager in the quantitative See page 7 for biographical details strategies group at Goldman Sachs where he is responsible for Javier is currently Global Head of Credit Derivatives Trading at the volatility strategies and co-responsible for the fixed income Drkw. Previously he was Head of EM Credit Derivatives at 12.10 relative- value strategies of the group’s hedge fund. Before Hedging When Perfect Replication Is Not Lehman Brothers. Javier worked in the proprietary trading group joining GS in April 1999, Silverio headed for two years the Possible: Evaluating The Hedging at Nomura Securities where he was VP Head of EM Derivatives. research efforts in Emerging Markets Fixed Income Derivatives Performance Of Complex Credit Derivatives He was awarded Global Finance Magazine Top 100 Emerging at Salomon, developing credit models for trading of default- Models In Practice Markets superstar. Derivatives superstar list. linked products. Testing the models: where are the dangers? A consistent methodology to assess the validity of OPTIMUM PORTFOLIO MANAGEMENT 15.25 Examining The Practical Challenges Of derivatives models USING DERIVATIVES Volatility Trading In Commodities: Assessing How bad is the absence of spread volatility in the Li model? The impact of different copulae Peculiarities Of Option Pricing And Hedging 16.55 A Quantitative Approach To Detect Market In Petroleum Markets Residual risk after calibration to the same market inputs The impact of uncertain recovery for different complex Abuses: The Surveillance Automatic Implied distributions, "sticky" models and volatility skews. Integrated System (Sais) derivatives Average price options as an industry benchmark. Review of the literature and supervisory experience on the Riccardo Rebonato, Head of Group Market Risk, Spread options as a bridge to other commodities and effects of insider trading and market manipulation. locations. ROYAL BANK OF SCOTLAND Dr Riccardo Rebonato is Head of Group Market Risk, including The Market Abuse Detection procedure. New instruments: volatility swaps. Quantitative Research Centre. He is also a Visiting Lecturer at The tripwires definition: the volumes of trading in the Ilia Bouchouev, Global Head of Energy Derivatives, Oxford University for the Mathematical Finance Diploma and ; the returns on the security; the static market KOCH SUPPLY & TRADING LP Visiting Fellow at the Applied Mathematical Department of Oxford concentration; the dynamic market concentration. Ilia joined Koch Industries in 1996 as a quantitative analyst and University. Prior to joining RBSG, he was, at the same time, Head of The calibration procedure of the tripwires: the theorem of a derivatives trader. He became the global head of energy the Complex Derivatives Trading Desk and of the Complex derivatives for Koch Supply & Trading LP in 2000, and leads the Derivatives Research Group at Barclays Capital. Before that he was convergence; the convergence of an AR process to a team that is currently among the most active market makers and a Research Fellow in Physics at Corpus Christi College, Oxford, UK. diffusion process; passage from discrete to continuous volatility traders in petroleum markets. He has also introduced a He is the author of the books ‘Interest-Rate Option Models’ (1996, time and definition of parameters. number of new financial instruments to the oil market. 1998) and ‘Volatility and Correlation in Option Pricing’ (1999). He The alert generation process has published several papers on finance (interest-rate option models, The algorithm for reading the alerts computational techniques) in academic journals, and is on the Marcello Minenna, Enforcement Officer, CONSOB 16.00 AFTERNOON TEA & OPPORTUNITY TO VISIT editorial board of several journals. Marcello Minenna is an enforcement officer of CONSOB (the THE DERIVATIVES & RISK MANAGEMENT Italian Securities and Exchange Commission) in charge of 2004 TECHNOLOGY EXCHANGE 12.45 LUNCH & OPPORTUNITY TO VISIT THE analysing and developing quantitative models for surveillance. DERIVATIVES & RISK MANAGEMENT 2004 He has taught Mathematical Models for Finance in several TECHNOLOGY EXCHANGE Italian University as contract Professor. He presently teaches 16.20 Market-Making Versus Relative Value Financial Mathematics at University of Milano Bicocca. Trading: How Much Do We Let A Model Tell 14.15 Examining Fast Monte Carlo Methods For Us? Accurate Estimation Of Tail Probabilities 17.30 Evaluating The Use Of Derivatives In Trading Variance swaps: flow product or exotic option? And Risk Measures For Portfolio Credit Risk & Investment Portfolios: Can Investors Why the more exotic options often trade at the wrong Difficulties in estimating probabilities of large losses Implement Responsible Derivative Programs price: real-world examples using importance sampling to accelerate simulation of That Suit And Protect Their Investments Hidden risks: what are the real hedging costs of exotic rare events Larry Abele, Managing Director, options, and can they be quantified? Investor Combining importance sampling with factor models of Quantitative Strategies & Portfolio Engineering, Mike de Vegvar, dependence between obligors Perspective DEUTSCHE ASSET MANAGEMENT Executive Director Equity Derivatives Trading, Accurate estimation of tail probabilities and risk measures Larry Abele joined Deutsche Asset Management in 2000 after 6 UBS for large credit portfolios years of experience as a research principal for Barclay's Global Mike deVegvar is an Executive Director at UBS and is Paul Glasserman, Investors' Advanced Strategies Research Group on the global asset responsible for trading exotic equity derivatives and structured Jack R. Anderson Professor of Risk Management, allocation (GAA) team and as a research associate responsible for products in London. Prior to joining UBS, Mike traded interest COLUMBIA GRADUATE SCHOOL OF BUSINESS GAA and currency allocation decisions at First Quadrant Corp. Conference Programme Conference rate derivatives at Bankers Trust and First Chicago. He holds Paul Glasserman is the Jack R. Anderson Professor of Risk BS and MS degrees in Electrical Engineering from MIT and an Management at Columbia Business School. His research Robert Fotheringham, Vice President Derivative & MBA from the Wharton School of Business. addresses modeling and computational problems in risk Quantitative Investments, OMERS

8 To Promote Yourself To This Fantastic Audience Contact [email protected] +44 20 7915 5603 contact:Exhibition [email protected] Opportunities Speaking And For +44 20 7915 5603 MAIN CONFERENCE DAY TWO

Robert M. Fotheringham currently serves as the Vice President, Phil Hunt is currently Head of Product Development at WestLB, Eric Reiner is a Managing Director within the Group Market Risk Derivative and Quantitative Investments, with the Ontario Municipal where his responsibilities cover interest rate, FX and credit unit of UBS Corporate Center. He is charged with the creation of a Employees Retirement System. Robert’s responsibilities include the derivatives. Phil has been in the financial markets since 1992, new global function responsible for market risk methodology design, application and trading of synthetic and index linked securities. previously holding positions at NatWest Markets and ABN-Amro. across all of the UBS Business Groups as well as providing He is responsible for the active management of a fully diversified, global quantitative and analytical advisory to UBS Group and Business portfolio of derivative instruments and quantitative based cash securities. 16.00 AFTERNOON TEA & OPPORTUNITY TO VISIT Group senior management and risk control functions. Prior to The notional value of the derivative portfolio under his management THE DERIVATIVES & RISK MANAGEMENT 2004 assuming his new role in February 2003, he was for 5 years a currently exceeds $8.0 billion. Quantitative based cash assets exceed $4.0 TECHNOLOGY EXCHANGE Managing Director in Equities Trading at UBS Warburg, based in billion. Robert sits as a senior member of OMERS Investment Stamford. Management Committee, and Global Asset Allocation Committee, where 16.20 Global Derivatives Product Panel: Risk he assists in the development of the Fund’s asset allocation strategies and Managing Innovative Financial Products 12.45 LUNCH & OPPORTUNITY TO VISIT THE risk management initiatives. Chair: Dongning Qu, Head of Quantitative Products Group, DERIVATIVES & RISK MANAGEMENT 2004 Frances Cowell, Head of Derivatives Risk Management, ABBEY NATIONAL TECHNOLOGY EXCHANGE MORLEY FUND MANAGEMENT See page 11 for biographical details 14.15 Hedging With Options In The Presence Of Frances has worked in the investment management industry since 1983. Andrew Brogden, Head of Equity Derivatives Trading, Since then she has managed domestic and international equity and fixed Jumps And Stochastic Volatility ABBEY NATIONAL interest portfolios, and asset allocation. In 1998 she moved to the UK Andrew is Head of Equity Derivatives Trading, Abbey National Some new model free results to work for QUANTEC, a major provider of portfolio risk management Financial Products. He has nearly ten years experience trading and Hedging with jumps systems, and in 2002 took up duties as Interim Head of Portfolio Risk at modelling exotic equity derivatives, convertible bonds, house price Empirical results with S&P500 options Morley Fund Management. She now works in the Portfolio Risk team, index derivatives and derivatives on fund performance. Previously, Introducing stochastic volatility specialising in risk management for derivatives and hedge funds. Andrew was a quant in HSBC's Specialised Derivatives Group. Peter Carr, Head of Quantitative Research, Frances Cowell, Head of Derivatives Risk Management, BLOOMBERG LP STREAM C – HEDGE FUND TRADING STRATEGIES MORLEY FUND MANAGEMENT Dr. Peter Carr heads Quantitative Research at Bloomberg LP. He also directs the Masters in Mathematical Finance program at NYU's See page 8 for biographical details Courant Institute. Prior to his current positions, he headed equity 11.00 Compensation And Risk Control: The Impact Joe Zou, VP Volatility Proprietary Trading Grou, derivative research groups at Banc of America Securities and at Of Compensation Incentives On Risk Taking GOLDMAN SACHS Morgan Stanley. He is currently the treasurer of the Bachelier Behaviour See above for biographical details Finance Society and an associate editor for 6 academic journals Options and Incentives: Examples related to mathematical finance and derivatives. He was selected as How options influence behavior 16.55 Innovations In High-End Numerical Risk Magazine's prestigious ``Quant of the Year'' for 2003 Example: Since increased volatility raises option values it Techniques For The Pricing Of Derivative And follows that options induce agents and employees to seek out Structured Financial Instruments 14.50 Implementing A Jump-Diffusion Model For volatility In order to avoid technological traps when pricing derivative Exotic Equity Products The above example is wrong! instruments, you need: Using jumps to explain the equity volatility smile. The three basic impacts of incentive schedules on behavior a sound mathematical formulation of the problem Hedging under jumps. necessary and sufficient conditions: shift, magnification model parameters obtained from market data in a stable and A multi name jump diffusion model. (delta), and convexity robust way Pricing exotic equity options with the jump diffusion model. The duality of risk aversion and riskiness advanced numerical techniques which have been proven in Empirical evidence. Stephen Ross, more general PDE frameworks Jesper Andreasen, Head of Product Development, Franco Modigliani Professor of Finance & Economics, CEO, NORDEA MARKETS Andreas Binder, MATHCONSULT Jesper Andreasen heads the Product Development Team at Nordea MIT SLOAN SCHOOL OF MANAGEMENT Andreas Binder is CEO of MathConsult GmbH and CEO of the Markets in Copenhagen. Prior to this, Jesper has held positions in See page 7 for biographical details Industrial Mathematics Competence Center. In his professional career, the quantitative research departments of General Re Financial Andreas has been working on continuous casting and hot rolling of steel, Products and Bank of America in London. Jesper's research interest on modelling and simulation of the blast furnace process, on extrusion 11.35 Talking Volatility Trading In Today's Dynamic include yield curve models, volatility smiles, numerical methods, processes, but of course also on the pricing of convertible bonds and on Marketplace: Examining New Products And and credit derivatives. In 2001 Jesper received Risk Magazine's complex fixed income instruments. Andreas is a member of the advisory New Horizons Quant of the Year award. board of the Austrian Mathematical society. He has published numerous Use of variance swaps publications on nonlinear mechanics, inverse problems in diffusion Correlation products and trades equations, computational finance. 14.50 Case Study: Calibration And Comparison Of Pav Sethi, Equity Derivatives Portfolio Manager, Stochastic Volatility And Other Advanced J. D CAPITAL MANAGEMENT 17.30 Examining The Optimal Use Of Market Models Volatility Models Pav Sethi is an equity derivatives portfolio manager with J.D. In Practical Hedging Effects of jumps in price and variance Capital Mangement. He was previously an equity derivatves trader Efficient Calibration & Restricted Dimension Implementations Stochastic volatility and Levy processes with Morgan Stanley in London. Mr. Sethi received a bachelors Hedging & Risk-Management Implications & Objective Including 'exotics' in model calibration degree in chemistry from Cornell University and a masters in Assessment mathematics from the University of Chicago. Using a high level language Stephen Dodds, Curt Randall, Senior Vice President for Applications, 12.10 Assessing The Latest Innovations In Pricing Director, Global Quantitative Analytics Group, SCICOMP INC MBS & The Key Hedging Implications BARCLAYS CAPITAL Curt Randall is head of financial product development for SciComp Inc. Stephen started his career on the exotic interest rate derivatives desk. In Senior VP, Investments, He was the chief architect of the PDE and Monte Carlo modules for Nazir Dossani, FREDDIE MAC addition to his continuing responsibilities on the interest rate side, he is In his current role Nazir Dossani is responsible for formulating and SciFinance which are used by some of the worlds largest banks, and now responsible for derivatives analytics in other asset classes. His implementing the corporation's interest-rate risk management securities firms. areas of interest include practical implementation of market models for a strategies. He also is responsible for fixed-income research and wide range of exotics, and their optimal use in hedging. Jim Gatheral, Head of Quantitative Analysis financial engineering, with a focus on developing risk measurement, MERRILL LYNCH valuation and hedging tools. This responsibility includes development See above for biographical details of prepayment, interest-rate and portfolio optimization analytics. STREAM D – ADVANCED EQUITY DERIVATIVES PRICING & HEDGING Vladimir Lucic, Quantitative Analyst, TD SECURITIES 12.45 LUNCH & OPPORTUNITY TO VISIT THE DERIVATIVES & RISK MANAGEMENT 2004 11.00 Modelling Stock Price Dynamics In The 16.00 AFTERNOON TEA & OPPORTUNITY TO VISIT TECHNOLOGY EXCHANGE Presence Of Default: Calibration & Convertible THE DERIVATIVES & RISK MANAGEMENT 2004 TECHNOLOGY EXCHANGE 14.15 Negative Probabilities And Other Non- Bond Pricing Linking Equity & Credit Markets Exploring the application of a structural credit model to the Conventional Ideas Applied In Finance 16.20 Examining Two Sided Barrier/Exit Problems Negative volatility used for option valuation valuation and hedging of convertible bonds. The hazard rate is a function of a distance to default given by With Jumps Why are we so negative to negative probabilities? Valuation theory for double barrier options, when the security Interpreting negative probabilities in finance. the stock price and the leverage o the firm. Analysing the behaviour of the model for a sample of traded price can jump. Negative probabilities more useful than you would think? Relationships between the payoff density and exit and convertibles and compare with other widely used models. From Black-Holes to Black-Scholes overshoot densities. Executive Director, How Einstein would have run a Hedge Fund Rick Shypit, MORGAN STANLEY Rick is an Executive Director in the equity Division at Morgan Stanley Exact valuation solutions for special and general cases. Espen Haug, Proprietary Derivatives Trader, where he is responsible for quantitative modelling of equity derivatives Alan Lewis, Founder, OPTIONCITY.NET JP MORGAN and convertible bonds. .Prior to joining Morgan Stanley, Rick was Alan has been active in option valuation and related financial Espen Haug is currently working as a proprietary derivatives trader for Capital Markets Officer in Firm Risk Management at Chemical Bank, research for over twenty years. He served as Director of Research, J.P. Morgan New York. Prior to joining J.P. Morgan he worked for several NY covering interest rate derivatives and bond trading). Chief Investment Officer, and President of the mutual fund family at years as a senior option trader for Paloma Partners and Amaranth Analytic Investment Management, a money management firm Advisors, a market neutral hedge fund based in USA. He has developed specializing in derivative securities More recently, Alan authored the 11.35 Valuing And Hedging Volatility Derivatives systems and tools for options and interest rate derivatives for the Chase book "Option Valuation under Stochastic Volatility". Bank Derivatives Research and Trading Group (Europe). Review of variance swap pricing and hedging Volatility swaps and the convexity adjustment 17.30 Talking Exotics: Examining New Innovations In 14.50 Hedge Fund Strategies Panel Discussion The effect of jumps Pricing (& Mis-pricing), Hedging, & Trading Carr-Lee model-independent valuation of volatility derivatives Talking Volatility Trading: Exploring HEDGE The Latest Generation Of Exotic Equity Successful Quantitative Strategies For Real world applications Derivative Products FUNDS Jim Gatheral, Head of Quantitative Analysis, Arbitraging Volatility Against Volatility & David Samuel, Head of Equity Products Trading, MERRILL LYNCH Determining Whether There Is A Perfect Hedge Over a career spanning over 20 years, Dr. Jim Gatheral has been RBS FINANCIAL MARKETS Espen Haug, Proprietary Derivatives Trader,JP MORGAN involved in all of the major derivative product areas as bookrunner, risk David Samuel is Head of Equity Products Trading at RBS Financial See above for biographical details manager and quantitative analyst in London, Tokyo and latterly New Markets, prior to this he ran the equity exotics desk at Chase Manhattan Bank and held a quant-trading role at Lehman Brothers. John Zhao, Senior Trader, CLINTON GROUP York. He is currently head of Quantitative Analytics and Listed Options John Zhao is a senior trader in charge of systematic trading in Automated Market Making for Equity Markets at Merrill Lynch. An Lorenzo Bergomi, Head of Equity Derivatives Quantitative global bond arbitrage at the Clinton Group The Instruments that he adjunct Professor at the Courant Institute of Mathematical Sciences, New Research, SOCIETE GENERALE trades include G-7 government bonds, swaps, options and other York and co-teacher of a popular Masters course with Nassim Taleb. Jim Lorenzo joined SG in 1997 as a quantitative analyst on the exotics derivatives. Prior to his current role he spent six years as a fixed- holds a Ph.D. in theoretical physics from Cambridge University. desk and in 2000, set up a global research team covering income derivatives market maker at First Union National Bank quantitative issues for the Equity Derivatives Department. His group where he traded all swaps and options products. 12.10 The Characteristic Curve Approach to currently focuses on models & algorithms for exotics, prop.trading Joe Zou, VP Volatility Proprietary Trading Group, Arbitrage-Free Time Interpolation of Volatility strategies, credit/equity models. Originally trained as an electrical GOLDMAN SACHS The calendar-spread condition for European calls on engineer, Lorenzo obtained a PhD in theoretical physics in the dividendless stocks theory group at CEA, Saclay, France, then spent two years at MIT PRODUCT INNOVATIONS & MODELLING Generalisations to puts and dividend-paying shares, before joining SG. currencies, and commodities Andrew Harmstone, Head of European Derivatives & 15.25 New Work On Modelling FX/IR Hybrids Differential formulation of the constraint and solution in Quantitative Research, LEHMAN BROTHERS When does the FX smile dominate? terms of characteristic curves See page 8 for biographical details When does interest rate volatility dominate? Model-independent results and interpretation in terms of Ad-hoc corrections and their effect on prices and hedges variance interpolation along characteristics 18.05 Champagne Round Tables Do we need high dimensional models? Extension to fixed cash dividends Phil Hunt, Head of Product Development, WestLB Eric Reiner, Managing Director Group Market Risk, UBS AG 19.00 Gala Cocktail Party To Promote Yourself To This Fantastic Audience Contact [email protected] +44 20 7915 5603 9 contact:Exhibition [email protected] Opportunities Speaking And +44 20 7915 5603For 10

Conference ProgrammeMERRILL LYNCH 11.30 11.00 10.20 09.45 09.10 08.30 12.35 Engineering Program, Derivatives Analytics Mathematics departmentatStanford University. Northwestern University andworked asapostdoctoral fellowinthe research fellowatIBM.HehasaPhDin Applied Mathematicsfrom Merrill Lynch inNew York in1993andhewaspreviously T.J. Watson Prior tojoiningDeutsche BankGreg joinedtheDollarSwapsdeskat become headofEuropean derivativesanalyticsatDeutsche Bank. York derivativesanalyticsteam.In1998hemoved toLondon Greg Merchant joinedDeutsche Bankin1996toheaduptheNew Greg Merchant, See page 9forbiographical details Director OfMathFinance Peter Carr, See page 8forbiographical details ROYAL BANKOFSCOTLAND Riccardo Rebonato See page 9forbiographical details Jim Gatheral, See above forbiographical details COLUMBIA UNIVERSITY Emanuel Derman, Volatility &Correlation Exploring Trends &DevelopmentsIn P GL See page 7forbiographical details Nassim Taleb, For NegativeSkewness On TheCognitiveAspectsOfPreference head oftheirfinancial engineeringprogram. the Year 2000.Heisaprofessor atColumbiaUniversity andco- Dr DermanwasnamedtheIAFE/Sungard Financial Engineerof Sachs in2002. Risk Strategies group. Heretired from Goldman, in 1997.In2000hebecomeheadofthefirmwide Quantitative smile. HewasappointedaManaging Director ofGoldmanSachs where they pioneered thestudyofvolatility Equities division, 1990 to2000heledtheQuantitativeStrategies group inthe co-developers oftheBlack-Derman-Toy interest-rate model.From Goldman Sachs' fixed incomedivisionwhere hewasoneofthe he worked at AT&T BellLaboratories. In1985DrDermanjoined andfrom 1980to1985 research intheoretical particlephysics, Columbia University in1973.Between1973and1980hedid Emanuel DermanobtainedaPh.D.intheoretical physicsfrom Emanuel Derman, Where We’re Going Quantitative Finance:HowWe GotHere, Technology Exchange Derivatives &RiskManagement2004 Coffee &OpportunityTo VisitThe See page 9forbiographical details NYU STERNSCHOOL OFBUSINESS Robert Engle, Correlations ForAssetAllocation Measuring TheValue OfDynamic stochastic volatilityandinternationalstock risk. Quantitative Equities.Heisknownforanalyzingoptionswith Sachs inFixed Income Arbitrage andin Asset Management in New Zealand.Heworked intheprivatesector withGoldman andtheUniversity of Auckland Washington University, Columbia, in Finance in1990.Heheldprevious facultypositionsat Yale, Administration andearnedanMBA in1985followedbyaPh.D. 1983. HeattendedtheGraduate School ofIndustrial College Park in and Economicsfrom theUniversity ofMaryland, Steve Hestongraduated withaB.S.doublemajorinMathematics UNIVERSITY OFMARYLAND Steven Heston, Skewness Option Valuation Conditional With 2004 TECHNOLOGY EXCHANGE THE DERIVATIVES &RISKMANAGEMENT MORNING COFFEE&OPPORTUNITYTO VISIT ANEL MAIN CONFERENCEDAY 3– To Yourself Promote To ThisFantastic Audience Contact [email protected] +44 207915 5603 returns? risk allatonce underlyings, portfoliosofoptions,andcorrelateddefault Interaction betweenjumpsandstochasticvolatility Stochastic volatilityandlong-termskewness Jumps andlocalskewness Is thereasolution? Recent empiricalresearch Prospect theory Behavioural explanationsfortheneglectofrareevents: numbers. Cognitive explanationsforover-inference: thelawofsmall True adventure Pulp fiction Hardback classics Measuring the Value ofCorrelationInformation DCC- anewsimplecovariancematrix Errors thatcostnothing Which covariancematrixtouse? Can wereducevolatilitywithoutreducingexpected Solving portfoliorisk,optionpricesonmultiple OBAL DERIV STREAM A–INNOVATIONS IN VOLATILITY TRADING Head OfQuantResearch 27 MAY 2004 Professor ofFinance, Head OfQuantitative Analysis , Founder, A DEUTSCHE BANK COLUMBIA UNIVERSITY Assistant Professor, TIVES FINANCIALMINDS aaigDrco,HeadofEuropean Managing Director, , COURANTINSTITUTENYU , Professo Professor &Co-HeadFinancial Head OfGroup Market Risk EMPIRICA CAPITAL r, , BloombergLP& , Address Special MAIN CONFERENCEDAY THREE 15.05 14.30 13.10 11.30 17.05 16.35 15.40 16.00 STREAM B–ENHANCEDPRICING, HEDGING & TRADINGCREDITDERIVATIVES &CDOS And CorrelationArbitrages Understanding AndImplementingVolatility See page 6forbiographical details UNIVERSITY OFMARYLAND Dilip Madan, Variants New Work OnPricingOptionsRealised 2004 TECHNOLOGY EXCHANGE THE DERIVATIVES &RISKMANAGEMENT AFTERNOON TEA&OPPORTUNITYTO VISIT he wasaQuantatBearStearnsandUBS. Structuring Trader inMerrillLynch. Priortohiscurrent position ZhenyuDuanmuhasbeenanExoticOption/ Since 1996, Zhenyu Duanmu, Hedging Methodology Variance –EvaluatingANewPricing/ Pricing OptionsOnRealized Volatility And CREDIT SUISSEFIRSTBOSTON Nick Nassuphis, TradingExotic ModelsCombineWith Reality Assessing HowTheCurrentGenerationOf TECHNOLOGY EXCHANGE DERIVATIVES &RISKMANAGEMENT 2004 LUNCH &OPPORTUNITYTO VISITTHE Of Exotic Products HybridEquity-Credit Fitting TheSmileForMoreAccuratePricing Overcoming TheChallengesOfCalibrating & Incompressible Turbulent FlowsinComplex Geometries. Dynamics (Belgium)onParallel Large-Eddy Simulationof from theCatholicUniversity Leuven-vonKarmanInstituteforFluid Advanced hedgingtechniques. HehasaPhDin Applied Mathematics Parallel computationand Finite difference methods, volatility models, Lévystochastic Uncertainparameter models, Monte-Carlo methods, Advanced Interest RateandHybridderivativespricing, Equity, South-West Europe. Hehasthree years front-office experience in current role isinQuantitativeModellingatING- Erwin Simons’ Erwin Simons, partner inthevolatilityarbitrage hedge fundCaissaCapital. for theCertificate inQuantitativeFinance. Paul Wilmott isa thequantmagazine Wilmott andistheCourse Director website, thepopularquantitativefinance community www.wilmott.com, research articlesonfinance andmathematics.Dr Wilmott runs on QuantitativeFinance (Wiley 2001).Hehaswrittenover 100 Introduces QuantitativeFinance (Wiley 2000) andPaul Wilmott Oxford University in1985.HeistheauthorofPaul Wilmott and quantitativefinance. Dr Wilmott received hisD.Phil.from riskmanagement financial consultantspecializinginderivatives, the cultderivativeslecturer. Hehasformanyyears beena Dr Paul Wilmott hasbeendescribedbytheFinancial Times as Paul Wilmott, Assessing Volatility ModelRobustness most influentialpeopleinDerivativesandRiskManagement. he wasincludedintheRiskmagazine "HallofFame" ofthe50 of Neural Networksforfinancial timeseriesforecasting. In2002 PhDinNumerical a Analysis andintroduced theuse Intelligence, heobtainedaMaster'sDegree in Artificial Before theseyears, prices) in1993andsubsequentstochastic volatilityextensions. extension oftheBlack-Scholes-Merton modeltofit alloption pioneered thewidelyusedlocalvolatilitymodel(simplest management andarbitrage models.Heisbestknownforhaving risk allocation andnowjoiningBloomberg todevelop pricing, Products before beingaconsultantinderivativesandasset Paribas CapitalMarkets andNikko Financial Société Générale, Bruno Dupire hasheadedtheDerivativesResearch teamsat Bruno Dupire, Practical Arbitrage-Free Simple The hybridmodelwithjumps Impact onstandardeuropeans optionspricing of marketdefaultableinstruments Calibration ofadeterministic frameworkthroughstripping First generationofhybridmodel Defaultable bondstoDefaultprobabilities From CDSspreadstoDefaultprobabilities&from Modelling thedistributionofdefaulttime What canbesaidaboutforwardskews? Locking conditionalandunconditionalforwardvolatilities How togetindividualstockskewsfromhistoricaldata with TC Comparing QV Laplace transformsof TC Time changes(TC)ofBrownianMotion Laplace Transforms ofQV Modeling Quadratic Variation (QV) The VarianceSwapPrice Variance Swapand Volatility Swaps Case study:Cliquetoptions Optimal statichedging Nonlinear models Vega hedging Calibration Caps/Swaption arbitrage FX arbitrage:triangular, tetraedricandbeyond Dispersion tradesrevisited Arbitraging betweenskewandcreditderivatives Skew dynamicsarbitrage INNOVATIONS INVOLATILITY PRICING &MODELLING Professor ofFinance, Founder, Quantitative Modelling, Quantitative Research, Trader, Director, WILMOTT ASSOCIATES Merrill Lynch BLOOMBERG ING Brand New Research 13.10 16.00 15.40 15.05 14.30 12.35 Methods ofRiskManagement, America andGlobalCredit Derivatives Research, Derivatives Trading, Determining TheFutureModellingChallenges Manage RiskExposureInCDOsOf& Using MonteCarloSimulationTo Measure& Evaluating TheBenefits&LimitationsOf TECHNOLOGY EXCHANGE DERIVATIVES &RISKMANAGEMENT 2004 LUNCH &OPPORTUNITYTO VISITTHE Concil ofStandard andPoor’s. Finance andStochastics andmemberoftheEuropean Academic market illiquidityorstochastic volatility. Heisassociateeditorof credit risksbut hehasalsopublishedonotherquestionslike inparticularthemodellingof areas ofmathematicalfinance, Economics atBonnUniversity. Hisresearch interests cover all researcher attheDepartmentofStatisticsFaculty of ETH Zurich. From 2000-2002DrSchönbucher waspostdoctoral Professor forQuantitativeMethodsofRiskManagement atthe PhilippJ. Schönbucher is Assistant 2002, Since October1st, Philipp Schönbucher, Basket AndPortfolio CreditDerivatives Modelling DefaultContagionAndHedging mathematics andtheoretical physics. in SwanseaandBerlin.Marcus hasadegree andPhDinpure advisory boards fortwoInternationalResearch Institutesbased book forpublicationin2004.Heisamemberofscientific 2002).Heiscurrently co-writingafourth Applications (Wiley, Theoryand 2000)andEquityDerivatives: (Risk Books, 1999);EquityDerivativesandMarket RiskModels (Risk Books, ModellingandHedgingEquityDerivatives following books: New York andFrankfurt respectively. Marcus isco-authorofthe exchange derivativesquantitativeresearch forDeutsche Bankin since 1996.Previously heworked ininterest rate andforeign basedinLondon, research forDeutsche BankGlobalEquities, Marcus Overhaushasbeentheglobalheadofquantitative Marcus Overhaus, sGoa edo rdtDrvtvs&Srcue:hisproduct line as GlobalHeadofCredit Derivatives&Structures: Credit Agricole Indosuez(CAI).HeisbasedinLondonandacting Loic Fery isManaging Director in theFixed Incomedivision of CREDIT AGRICOLE INDOSUEZ Loic Fery, Tranches Credit SpreadsForTheValuation OfCDO Estimating Correlations&Volatilities Of Examining KeyDevelopmentsInAccurately 2004 TECHNOLOGY EXCHANGE THE DERIVATIVES &RISKMANAGEMENT AFTERNOON TEA&OPPORTUNITYTO VISIT and earnedaPhDinMathematicsfrom UCLA. Canada, graduated withaBSfrom McGillUniversity inMontreal, was aResearch and Teaching Fellow atHarvard University. He Mr.models forCredit Suisse. Before St.Pierre moving toCSFP, development group where hedeveloped theCredit Derivative hewasamemberoftheproduct the trading deskatCSFP, Derivatives andStructured Brady BondOptions.Prior to joining Suisse Financial Products were hetraded Latin American Credit Trading. MartinjoinedBear StearnsinJune 2000from Credit Derivative Trading andheadofLatin American Credit Derivatives roles atBearStearnsincludebeingco-headofNew York Credit is GlobalHeadofStructured Credit Derivatives Trading. Previous Mr. St.Pierre isaSeniorManaging Director atBearStearnsand Martin St-Pierre, Successfully HedgingThePositions Valuation OfSyntheticCDOsAnd Examining KeyStrategiesForTheOptimum been an Associate oftheSociety Actuaries intheUnitedStates. degreee inMathematicsfrom theUniversity of Auckland andhas First a ClassB.Sc.Honours from theUniversity ofChicago, hasaPhDandanMBA inFinance andEconomics Economics, several finance journalsincludingtheJournal ofFinancial Hehaspublishedanumberofarticlesat Iowa for2years. David wasan Assistant Professor ofFinance attheUniversity of Priortothis Group atGoldmanSachs inNew York for5years. worked he intheDerivativesModeling working atDeutsche, David hasworked forDeutsche Bankfor6years. Priorto Deutsche Davidisincharge ofallcredit derivativesresearch. Derivatives Research forNorth America atDeutsche Bank. At David Beaglehole isaManaging Director andheadof DEUTSCHE BANK David Beaglehole, risk, recoveryriskanddefaultexposure. valuation perspective. alone? Dispersion Risk:Canwehedgewiththeunderlyingindex default-delta Hedging basketcreditderivatives:spread-deltaand Resulting spreaddynamics based defaultcontagion Frailty models:aconvenientwaytomodelinformation- Types ofdefaultcontagionandtheireffects oncreditspread Input ofnewcreditindex position Distinguishing PricingandRiskManagementofthe Single trancheCDOdynamichedgingstrategies Hedging outresidualpositions Review &pitfallsofthemodels Calibration totheCDOmarket. The profileofriskexposuresforCDOsCDOs.Spread The seedvarianceofriskcalculationsforCDOsCDOs. Monte Carloapproachestovariancereductionfroma Copula valuationmodels. What areCDOsofCDOs? DEUTSCHE BANK Global HeadofCredit Derivatives&Structures BEAR STEARNS Global HeadofStructured Credit MD, Global HeadofQuantitative Global MD, Head ofDerivativesResearch North ETH ZURICH Assistant Professor Quantitative , , contact:Exhibition [email protected] Opportunities Speaking And For +44 20 7915 5603 MAIN CONFERENCE DAY THREE

responsibility includes CDS Trading, Credit Structuring (including 15.05 Explorations Into The Co-Movement Of Rates & Alexandre Antonov got his PhD degree in physics in the Landau synthetic CDO business-line), and Convertible Stripping. He started Equities Institute of Theoretical Physics in 1997. In 1998 he joined Numerix working in Credit Derivatives in 1996 and has been involved Motivation: pricing and hedging of hybrid derivatives Corporation where he works until now as Senior Quantitative successively in both Trading and Structuring sides of this growing Analyst. His field of interest is rather wide. It covers interest rate activity. Before moving to London to head the global business, he was What drives correlations between equities and interest rates? models, cross currency models and credit ones. His activity is based in Hong Kong where he ran Asian Credit Derivatives desk for CAI Exploring variation of equities-rates correlation over time concentrated on modelling and numerical methods development and previously for SocGen. Equities-rates co-movement during major market shocks including such popular areas as Monte-Carlo simulations, lattices Implications for designing and pricing hybrid derivatives and stochastic mesh algorithms. 16.35 Variance Minimization Versus Spread pv01 Piotr Karasinski, Director, Ali Hirsa, Vice President, MORGAN STANLEY CITIGROUP 15.05 Examining An Effective Volatility Technique For Ali joined Morgan Stanley in January 2000. His main focus is on Piotr Karasinski heads development of pricing models for interest Stochastic Volatility BGM model risk and model review. Prior to his current position, he worked rate and hybrid derivative products at Citigroup Global Markets in Libor Market Models: framework and extensions in the Equity Derivatives Research at Banc of America Securities and London. During his 20 years in derivatives, he developed valuation Analytic Formula for European with mean-reverting alpha models for interest rates, forex, equity and hybrid products, did the Fixed Income Research at Prudential Securities. His research stoch-vol interests are credit and equity derivatives. He is also an adjunct pioneering work developing a credit model for a Triple-A rate derivatives subsidiary, and worked on applications of derivatives to Controlling joint evolution of interest-rate and volatility professor at Columbia University where he teaches in the Mathematics Finance Program. corporate finance. He has a PhD in Physics from Yale University. Calibration of Libor Model to smile Markov simplification ADVANCED EQUITY DERIVATIVES PRICING, Smile-Effect on CMS and Bermudan 17.05 Accurately Estimating Credit Spreads From Philippe Balland, Director, MERRILL LYNCH Option Prices HEDGING & TRADING Philippe Balland is a Director in the fixed income division at Merrill Speaker tbc Lynch, London, where he has the responsibility for developing and 16.00 Assessing The Suitability Of The Current implementing stochastic models for pricing and hedging complex 17.40 Exploring Multi-Step Monte Carlo Simulation Generation Of Models For Pricing Equity options. He is a regular guess speaker at leading academic and Of CDOs And CDO2s Default Swaps industry conferences. Philippe holds a PhD in mathematics from Fast and complete generation of Waterfalls for Multi Step Joaquim de Lima, Oxford University. Simulation Global Head of Equity Derivatives Research, Tranche PIK probabilities – OC Breaching Probabilities for HSBC 15.40 AFTERNOON TEA & OPPORTUNITY TO VISIT Cash Flow CDOs THE DERIVATIVES & RISK MANAGEMENT 2004 Interest Only – Principal Only Risk Decomposition and 16.35 Developing A Consistent Approach For TECHNOLOGY EXCHANGE Reinvestment Algorithms Handling The Forward Smile Case Study – Simulation of all CDOs in a CDO2 General Issues about forward starting options 16.00 The 'Numéraire Alignment' Optimisation Of Volkan Kurtas, Senior Risk & Analytics Manager, Modelling under Jump and stochastic volatility setting. BGM Model UNIQA ALTERNATIVE INVESTMENTS Arbitrage constraint A control variance method based on a non-arbitrage strategy Volkan Kurtas is leading the Risk & Analytics team of UNIQA Chrif Youssif, Director, Error behaviour in the BGM model implemented as a Monte Alternative Investments GmbH. The team conducts quantitative DRESDNER KLEINWORT WASSERSTEIN Carlo simulation analysis on investments for buy decision, develops further Chrif is a Director at DrKW in charge of structuring and Error reduction technique on the domestic Interest rate curve quantitative and monitoring systems and manages the risks of assets quantitative modelling. He joined DrKw as senior trader in April Practical results under management. Mr. Kurtas is mainly focused on analyzing 2003, prior to that he was a senior quant then an exotic trader at Generalisation to other variables: foreign interest rate curve, portfolios of CDO tranches with various simulation techniques and Merrill Lynch Equity Derivatives Desk. Chrif joined Merrill Lynch in managing the risks of CDO2s. June 1999 from Paribas Capital Market where he was head of Equity FX rates, equity prices Derivative Quantitative Research. Emmanuel Fruchard, Director, Front Office & Risk William Morokoff, Director, New Products Research Group, Management Continental Europe, SUMMIT SYSTEMS MOODY’S KMV 17.05 The Latest Innovations In Pricing & Hedging Mr. Fruchard joined Summit in 1995 and led the Financial William Morokoff is a financial engineer in the research and analytics Cliquets, Forward Starts & Other Exotic Equity Engineering group at Summit's New York headquarters for three group at Moody’s KMV. He heads the New Products Research Group, years before returning to the Paris office to take charge of the Derivatives company's front office and risk management product line for which is focused on developing new methodologies and products for Speaker tbc risk management of credit sensitive portfolios and structures. Key continental Europe. Since 2002 he has also been managing the efforts of the group include development of credit valuation models BGM implementation project. Before Summit, Mr. Fruchard was and simulation methods for pricing and risk management of CDOs and STREAM D- THE LATEST INNOVATIONS IN head of Fixed Income & FX Research at Crédit Lyonnais in Paris. portfolios of CDO tranches. Prior to joining KMV, he was a vice He holds a BA degree in Economics and M.S. degrees in president in quantitative risk management research at Goldman Sachs. INTEREST RATE MODELLING Mathematics and Computer Science.

11.30 Mathematical, Empirical And Practical Issues 16.35 Innovations In Using The Framework Of STREAM C – HYBRID MODELLING With Volatility Modelling Stochastic Volatility, Local Volatility And & PRICING INNOVATIONS Which volatility? Correlation Structures As Powerful Tools In The Problems with correlation. Analysis Of Compound Options And Financial 11.30 Reusing Interest Rate Models For Better Hybrid Marek Musiela, Global Head of Fixed Income Research & Product Innovations Pricing Credit Strategy Team, BNP PARIBAS PRDC's, callable Range accrual options, etc. display common Deterministic hazard rates Marek Musiela is Global Head of BNP Paribas Fixed Income phenomena of compound options in their investment Payout Representation Research and Strategy Team (FIRST). His team develops, implements performance and risk management. Stochastic hazard rates and supports quantitative models for credit, foreign exchange and Incompleteness of market information and the need for Reusing cross-currency models interest rates businesses. Marek has a distinguished professional simplicity present the challenge to the day to day practice. career. His area of expertise lies in stochastic calculus, probability, Head of Structured Derivatives Trading, Payout Representation (II) statistics and applications of such methods in finance. His current Ken Yan, NOMURA Ken Yan is head of structured derivative trading and head of Asia Equity main interests lie in reconciling the latest academic research with its pacific derivatives in Nomura international. Prior to that, he traded Model Merging applications to pricing and hedging of financial derivatives and to structured derivatives in Citibank NY and TMI in London. He was a Skew other aspects of financial risk management. Marek is best known for assistant professor in mathematics in the US before his finance his contribution to the development of term structure models. Among Tom Hyer, Executive Director Derivatives Analytics, career. UBS other things he introduced the so-called ‘Musiela parameterisation’ Tom Hyer obtained a B.A. from Rice and a Ph.D. from Stanford and is the co-developer of the ‘BGM’ or ‘Market Models’. His book, 17.05 International Models For Interest Rates And before beginning his analytics career in fixed-income derivatives at co-authored with M. Rutkowski, entitled ‘Martingale Methods in Financial Modelling’ provides a comprehensive, self-contained, and Foreign Exchange: A General Framework For Bankers Trust (now Deutsche Bank); he subsequently worked at First The Unification Of Interest Rate Dynamics And Union before joing UBS in 2001. He is perhaps best known as the up-to-date treatment of the main topics in the option pricing theory author of "It's About Forward Vol", a seminal analysis of calibration and is considered to be a classic in this area. Marek gained PhD in Stochastic Volatility Modelling techniques for interest rate models. He has devised and implemented Mathematics from the Polish Academy of Sciences in 1976. Wiener chaos representations for positive-interest arbitrage- models for equity, credit, FX, cross-currency and hybrid products, as free interest rate systems. well as languages for trade description, hedge computation and run- 12.35 New Empirical And Computational Results Interest rate models as square-integrable Wiener time extensions. His current focus is on interest-rate, cross-currency InThe Relative Importance Of Jumps In functionals. and hybrid models, and on their interoperation with payout Chaotic approach to interest rate yield curve and volatility languages and frameworks. Returns, In Stochastic Volatility And In Volatility Evidence from S&P500 futures options calibration. Construction of specific models. Exact solutions Comparison of methods for fitting implied volatility surfaces for swaptions and bond options. 12.35 Linked Bond Successfully Synthesising A Euro to data Arbitrage-free exchange rate systems and their relation to the Inflation Using a Combination Of Credit & Pitfalls in implying option model parameters from data Rogers "potential" approach. Relation to the Amin-Jarrow Inflation-Linked Derivatives New method for unbiased simulation of affine-jump diffusion approach. Rashid Zuberi, Director Interest Rate Derivatives, models Chaotic models for foreign exchange volatility. Extensions to DEUTSCHE BANK Relative importance of jumps in volatility other asset classes. Mark Broadie, Professor of Business, Lane Hughston, Professor of Financial Mathematics, 13.10 LUNCH & OPPORTUNITY TO VISIT THE COLUMBIA GRADUATE SCHOOL OF BUSINESS King's College London DERIVATIVES & RISK MANAGEMENT 2004 Mark Broadie is a professor at the Graduate School of Business at Lane Hughston is Professor of Financial Mathematics at King's TECHNOLOGY EXCHANGE Columbia University. His research focuses on problems in the pricing College London, where he is the head of a lively research group and of derivative securities, risk management, and portfolio optimization. runs a successful postgraduate teaching programme. Before joining Much of his research focuses on the design and analysis of efficient King's College he was Director of Derivative Product Risk 14.30 Theory And Calibration Of Lognormal Swap Management at Merrill Lynch, London. He received his doctorate in Market Models And Smile-Consistent Monte Carlo methods for pricing and risk management. Professor Broadie is editor-in-chief of the Journal of Computational Finance mathematics from the University of Oxford, where he was a Rhodes Generalisations and serves as associate editor for Mathematical Finance, Operations Scholar. His research interests include the pricing and risk Theory and calibration of swap market models. A new fast Research, and Computational Management Science. Previously he management of derivative securities, martingale models for interest and accurate calibration method was a vice president at Lehman Brothers in their fixed-income rate and foreign exchange processes, and the applications of Analytical bounds on the errors research group. geometric methods in finance. Website: www.mth.kcl.ac.uk Simultaneous calibration to caps and swaptions in co-terminal 17.40 Examining The Markov Functional Model swap market models is faster, more stable and accurate than in Under Smile standard LIBOR market models 13.10 LUNCH & OPPORTUNITY TO VISIT THE Interest Rate Vol Smile Analysis Introducing smile-consistent extensions of the standard DERIVATIVES & RISK MANAGEMENT 2004 Market Calibration lognormal-based modelling that are viable for pricing and TECHNOLOGY EXCHANGE Pricing Behaviours & Analysis hedging exotic derivatives. 14.30 Evaluating An Interest Rate Modelling Dongning Qu, Head of Quantitative Products Group, Stefano Galluccio, Director, Exotic Derivatives Trader & ABBEY NATIONAL FINANCIAL PRODUCTS Head of Exotic Derivatives Structuring, Framework in Discrete Rolling Spot Measure A discrete framework, as defined on event time grid, for Dongning Qu is currently head of Quantitative Products Group BNP PARIBAS within Abbey National Financial Products, which structures and risk Stefano Galluccio is an Exotic interest-rates derivatives and hybrids cross-currency term structure modeling manages products covering all major asset classes. He previously trader and head of exotic derivatives structuring at BNP Paribas. A construction of a cross currency model with Markov- worked in FX and equity markets at banks including HSBC and Prior to his current position he was a senior quantitative analyst in Functional models for each currency Nikko Securities. His PhD was in Statistical Optics from Imperial interest-rates and hybrid derivatives. Stefano previously worked at Alexandre Antonov, Senior Quantitative Analyst, College. Prior to his career in derivatives, Dongning worked for the Commerzbank as a senior quantitative analyst in credit derivatives. NUMERIX Defence Research Agency for several years.

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