To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set up for the delivery of our courses. Please note we have therefore limited number of spaces available and these will be assigned on a first come, first accepted basis. We recommend early booking to avoid disappointment.

How will you benefit?

Calibrating financial models is a challenging optimization problem, particularly difficult for interest rate exotics. One possibility is to design special models which are solvable in closed form for the derivatives used as calibration targets. An alternative is to find a brute force engineering solution without restricting the underlying dynamics by requiring analytic tractability, thus remaining model agnostic. The added flexibility is beneficial and confers robustness and economic realism to the model. The model agnostic alternative is now possible due to the recent breakthroughs in computer engineering. This workshop addresses mainly model agnostic system design while also providing a discussion of the classical models and a comparison of performance and accuracy.

This workshop will cover in detail calibration, valuation and risk management of interest rate exotics in a model agnostic framework for general stochastic monetary policy interest rate dynamics. We discuss calibration to the swaption volatility cube and exotics such as CMS spread options. It is possible to fit well market datasets with a single global calibration (not an instrument dependent one). Classical alternatives also discussed and compared in detail include multi-factor Hull-White models with adjustors and BGM market models

• Examine valuation accuracy and performance of interest rate derivatives

• Discuss, with the use of computational examples,

• Gain further understanding on how to price primitives using ATLAS type libraries

About your expert trainer:

Claudio Albanese currently works as independent consultant. His academic background includes a PhD in Physics from ETH Zurich and a number of academic positions up to the rank of full professor at several Universities including NYU, Princeton, University of Toronto and Imperial College London. Claudio worked as consultant and trained at several investment banks and hedge funds including Misubishi securities, Merrill Lynch, Bloomberg, CDC-Naxis, Carador, Shinsei, ABN Amro, BBVA, ZKB and others.

Claudio's main focus is in building engineering frameworks for derivative pricing which are flexible enough to accomodate regime switching models. These engines are very efficient and accurate, especially if implemented by leveraging on GPU technology.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.

Who should attend?

From Financial Institutions, Investment Banks, Hedge Funds and Pension

Funds, Consultancy Groups and Solution Providers:

Heads, Managers, Advisors and Market Players in:

• Quantitative Analysis and Research

• Trading: Structured Products and Exotic Derivatives

• Trading and Markets: Equity and Equity-Linked FX and Fixed

Income Hybrids

• Structuring

• Portfolio Management and Strategy

• Derivatives Research

• Risk Management, Risk Analysis and Control

• Data Monitoring and Data Processing

• IT Support & Trading Systems