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: Hedge Funds & Institutional Investors I Goldman Sachs I Renaissance Technologies Plus! Don’t Miss Presentations From These Renowned Global Financial Minds I Royal Bank Of Scotland I Merrill Lynch I Deutsche Bank I BNP Paribas I JPMorgan Chase I DrKW I Pioneer Alternative Investments I Abbey I NYU Stern School of Business I UBS I Societe Generale Peter Carr John Hull Riccardo Emanuel Derman, Nassim Taleb Robert Shiller, Bill Fung , , , , I 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 I University of Toronto BLOOMBERG Management Market Risk UNIVERSITY CAPITAL YALE BUSINESS I HSBC UNIVERSITY ROYAL BANK OF UNIVERSITY SCHOOL I Clinton Group OF TORONTO SCOTLAND I Optioncity.net I Laurel Ridge Asset Management Plus! Expert Insights From These Leading Derivatives Practitioners I Citigroup I Mako Investment Managers I JD Capital Management I Uniqa Alternative Investments I Olsen I CONSOB I WestLB I Bloomberg I Moodys KMV I Willowbridge Associates I Freddie Mac Rajeev Misra, Andrew Harmstone, Rick Shypit, Martin St-Pierre, Jim Gatheral, Marek Musiela, Steve Ross, I Credit Suisse First Boston Global Head of Head of European Executive Global Head of Head of Global Head of Professor of I 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 I Azimuth Trust LEHMAN BROTHERS BNP PARIBAS I Numerix I Goldman Sachs Asset Plus! Management Don’t Miss Cutting-Edge Insights From Over 100 Leading I Deutsche Asset Management I Winton Capital Global Academics And Derivatives Practitioners Including: I MIT Sloan I Empirica Capital I I Andrew Matytsin, Principal, RENAISSANCE TECHNOLOGIES Greg Merchant, MD, Hd of European Derivatives Analytics, I MathConsult I Steve Ross, Professor of Finance & Economics, MIT SLOAN DEUTSCHE BANK I FX-Concepts I John Zhao, Senior Trader, CLINTON GROUP I Javier Martin-Artajo, Global Hd of Credit Derivatives Trading & Hd I ABN Amro I Olivier Ledoit, Hd of Statistical Arbitrage, Global Equity Proprietary of Quantitative Research, DRESDNER KLEINWORT WASSERSTEIN I Nomura Trading Group, CREDIT SUISSE FIRST BOSTON I Dilip Madan, Finance Prof., UNIVERSITY OF MARYLAND I Morley Fund Management I Mark Broadie, Prof. of Business, COLUMBIA GRADUATE SCHOOL OF I David Modest, MD, Chief Risk Officer, AZIMUTH TRUST I Summit Systems BUSINESS I Philipp Schönbucher, Assistant Prof., ETH ZURICH I Bank Of America I Espen Haug, Proprietary Derivatives Trader, JPMORGAN CHASE I Frances Cowell, Hd of Derivatives Risk Management, I London Business School I ING Bank Nv I Joaquim de-Lima, Global Hd of Equity Derivatives Research, HSBC MORLEY FUND MANAGEMENT I Allianz Hedge Fund Partners I Marcus Overhaus I Rick Shypit Executive Director, MORGAN STANLEY , MD, Global Hd of Quantitative Research, , I OMERS I DEUTSCHE BANK Eric Reiner, MD, Group Market Risk, UBS I CDC Ixis Capital Markets I Lorenzo Bergomi, Hd of Derivatives Research, SOCIETE GENERALE I David Modest, MD & Chief Risk Officer, AZIMUTH TRUST I Yale University I Reza Hadizad, Fund Manager, Global Equity Arbitrage Fund, I Stéphane Kourganoff, Global Hd. Fixed Income Derivatives Trading, I Credit Agricole Indosuez PIONEER ALTERNATIVE INVESTMENTS CDC IXIS CAPITAL MARKETS I Koch Supply & Trading I Larry Abele, MD, Quantitative Strategies & Portfolio Engineering, I Jesper Andreasen, Hd of Product Development, NORDEA MARKETS I Columbia University DEUTSCHE ASSET MANAGEMENT I Ed Dunne, MD, WILLOWBRIDGE ASSOCIATES I RBC Capital Markets I Nordea Markets I Morgan Stanley Plus! A NEW Dual-Streamed Trading Strategies Summit Examining: I PI Asset Management I Bear Stearns ‘Quantitative, Relative Value, & Proprietary Trading Strategies I 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, Option-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 Alpha 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 Volatility Arbitrage As A Derivatives Contract Versus The 12.45 Lunch & Opportunity To Visit The