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FKN2366 G DERVIS US 2013.Indd GUEST ACADEMIC SPEAKERS Book by 3rd Annual September 13th SAVE $900 & George Constantinides Emanuel Derman John Hull Leo Melamed Professor Professor Maple Financial Of Finance COLUMBIA UNIVERSITY Professor Of Derivatives UNIVERSITY OF & Head Of Risk & Risk Management CHICAGO BOOTH PRISMA CAPITAL JOSEPH L. ROTMAN November 19-22 ● Swissôtel Chicago, IL, USA SCHOOL OF BUSINESS PARTNERS SCHOOL OF MANAGEMENT, www.globalderivativesusa.com UNIVERSITY OF TORONTO America’s Leading Derivatives & Quantitative Finance Event DON’T MISS Key Insights Into Geopolitical Risk “Hot Spots” & The Implications Jesper Andreasen Jean-Philippe Bouchaud Ilia Bouchouev Benjamin Bowler Bruno Dupire Maneesh Deshpande Anlong Li Global Head Of Chairman Managing Director, Global Head Of Equity Head Of Quantitative Managing Director, Head Head Of Quantitative For Trading Quantitative Research CAPITAL FUND Head Of Derivatives Derivatives Research Research Of Equity Derivatives Volatility Group Strategies DANSKE BANK MANAGEMENT KOCH SUPPLY & BANK OF AMERICA BLOOMBERG Strategy Research ALLSTON TRADING TRADING MERRILL LYNCH BARCLAYS Marcos Lopez de Prado Dariush Mirfendereski Marco Avellaneda Mike Giles Paul Glasserman Roger Lee Dilip Madan Head Of Quantitative Global Head Of Inflation Professor Of Professor Of Scientific Jack R. Anderson Associate Professor, Professor Of Marvin Zonis Trading & Research Trading Mathematics & Finance Computing Professor Of Business Department Of Mathematical Finance Professor Emeritus HESS ENERGY HSBC COURANT OXFORD-MAN COLUMBIA BUSINESS Mathematics ROBERT H. SMITH BOOTH SCHOOL OF TRADING COMPANY INSTITUTE, NYU INSTITUTE OF SCHOOL UNIVERSITY OF SCHOOL OF BUSINESS, UNIVERSITY QUANTITATIVE CHICAGO BUSINESS, FINANCE UNIVERSITY OF OF CHICAGO MARYLAND What Makes Global Derivatives USA 2013 The Must-Attend Event For All Leading Derivatives & Quantitative Finance Practitioners? New For 2013 New For 2013 New For 2013 New For 2013 Our Most Diverse Speaker Line-Up A Dedicated Stream On Quantitative More Expert Quantitative Finance More Academic Research And Insight Ever With More Traders, More Prop Investment Strategies & Algorithmic Speakers & Focus Sessions Than Ever You told us you wanted more new research from Shops & More Buy Side Firms Trading Before Academic institutions, and of course we delivered. Meet and Network with senior practitioners from One of the ‘hottest’ topics around, Systematic Based on industry feedback we have expanded the Hear new ideas and fresh thinking from University 80+ leading global Banks, Prop Shops, Hedge Trading will be a big focus this year. Topics under agenda to include more in-depth technical sessions of Chicago, Columbia University, Carnegie developing Funds, Asset Managers, Energy Companies and the microscope for our experts include on ‘hot’ industry topics including Pricing Equity Mellon, The Rotman School of Management algorithms, market microstructure, optimal Insurers. Derivatives, Modelling FX, Pricing & Hedging and many more. execution and big data. Commodities & Portfolio Optimization Don’t Miss Global Derivatives USA’s First Ever Portfolio Optimization & Quantitative Investment Summit! Tuesday November 19, 2013 The summit will bring together senior industry figures from leading buy and sell side firms to discuss practical solutions to the key challenges buy side firms face in the derivatives markets. Learn how to develop successful alpha generation strategies and construct portfolios with an optimal balance of risk and return, even in today’s cost-constrained, risk-averse market environment. Don’t miss invaluable insights from: Aurora Investment Management, Bank Of America Merrill Lynch, Citi, Core Capital Management, Courant Institute Of Mathematical Sciences, Gelber Group, Hess Energy Trading Company, University Of California Berkeley & more. Maximise Your Learning With Our Technical Workshops Friday November 22, 2013 Adjoint Methods For Option Pricing: Lévy, Sato & Hunt Processes Algorithmic Differentiation Tool Calibrated & Applied To Problems The Valuation Of Credit Derivatives Volatility & Correlation Modelling & Support For Greeks & Calibration Of Capital Allocation & Risk Led by: John Hull, Maple Financial Professor Of Trading In Practice Using PDEs & SDEs Management Using The Theories Derivatives & Risk Management Of Conic Finance & Nonlinear Led by: Bruno Dupire, Head Of Quantitative Research, Led by: Mike Giles, Professor Of Scientific Computing, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, OXFORD-MAN INSTITUTE OF QUANTITATIVE Expectations UNIVERSITY OF TORONTO BLOOMBERG FINANCE Led by: Dilip Madan, Professor Of Mathematical Finance Uwe Naumann, Professor Of Computer Science, ROBERT H. SMITH SCHOOL OF BUSINESS, RWTH AACHEN UNIVERSITY UNIVERSITY OF MARYLAND SPONSORS Scan with smartphone QR Reader App FOLLOW US ON Main Conference: November 20-21 ● Portfolio Optimization Summit: November 19 ● Workshops: November 22 Global Derivatives Global @Global Global Derivatives ICBI For Latest Agenda & To Register: www.globalderivativesusa.com Tel: +44 (0) 20 7017 7200 Blog Derivatives _Derivs TV Fax: +44 (0) 20 7017 7807 Email: info@icbi.co.uk Group Friday November 22, 2013 (9 am - 5 pm) Choose Between These In-Depth Technical Workshops The Valuation Of Credit Derivatives Led by: John Hull, Maple Financial Professor Of Derivatives & Risk Management, JOSEPH L. ROTMAN SCHOOL OF MANAGEMENT, UNIVERSITY OF TORONTO John Hull is an internationally recognized authority on derivatives and risk management. His work has an applied focus. His areas of research have included the impact of stochastic volatility on the pricing and hedging of options, the valuation of interest rate and credit derivatives, the calculation of value at risk, and the evaluation of model 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. In 1999 he was voted Financial Engineer of the Year by the IAFE and has won many teaching awards. He has written three books: “Risk Management and Financial Institutions” (now in its 3rd edition), “Options, Futures, and Other Derivatives” (now in its 8th edition) and “Fundamentals of Futures and Options Markets” (now in its 8th edition) which are widely used in trading rooms and classrooms throughout the world. Dr. Hull is co-director of Rotman’s Master of Finance program and has also taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School. Estimating Default Probabilities Valuing Derivatives With Counterparty Credit Risk Correlation Models & CDO Valuation • Real world vs risk neutral default probabilities • Choice of a discount rate: LIBOR vs OIS • How copulas work • Using historical data • Estimation of CVA and DVA • How they are used in credit risk • Using credit spreads • Wrong way risk • The Gaussian copula model and Basel II applications • Scenario analysis vs valuation • Should an FVA adjustment be made • Application to CDOs • Valuation of credit default swaps • Extensions of the basic model • Merton’s model Volatility & Correlation Modelling & Trading In Practice Led by: Bruno Dupire, Head Of Quantitative Research, BLOOMBERG Bruno Dupire joined Bloomberg L.P. in 2004. Prior to this he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and subsequent stochastic volatility extensions. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame” of the 50 most influential people in the history of Derivatives and Risk Management. He is the recipient of the 2006 “Cutting edge research” award of Wilmott magazine and was the recipient of the Risk Magazine “Lifetime Achievement” award for 2008. Review Of Some Pressing Market Topics • Heston model • Implied volatility inter/extrapolation, Roger Lee’s moment Building A Good Implied Volatility Surface • Building a good volatility surface • SABR model formula • Requirements: accurate, arbitrage free, robust and • Stochastic Local Volatility Models • Bergomi model • Study of empirical behavior market facts: volatility smooth • Calibration of local correlation • Stochastic Local Volatility Models behavior and regimes • First step: model fitting • Decomposition of Vega across strikes and maturities • Historical volatility estimation • Second step: non parametric fitting of residuals • Joint calibration to SPX and VIX skews Building A Good Implied Volatility Surface • Implied volatility inter/extrapolation, Roger Lee’s moment • Examples and applications • Options on double short ETF • Requirements: accurate, arbitrage free, robust and formula smooth • Study of empirical behaviour • First step: model fitting Pricing With Correlation The Fundamentals Of Volatility Modeling Correlation • The different kinds of volatility • Second step: non parametric fitting of residuals • Break-even points in n dimensions • Estimating correlation; asynchronous and incomplete • Market facts: volatility behavior and regimes • Examples and applications • Correlation skew: basket options and CDO examples data • Historical volatility estimation • Spread options and steepeners Review Of Some Pressing Market Topics • Study of empirical facts • Implied volatility inter/extrapolation, Roger Lee’s moment • Pricing Mountain Range options
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