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.

“Discover and discuss tested methodologies used for modelling and pricing…”

How will you benefit?

Economically meaningful models for derivatives are useful both for trading and structuring complex derivatives and for consistent risk management of exotic equity derivatives books. The processes for stock prices, volatility and correlation can be modeled realistically to reflect the features of historical time series and capture traders' views at the condition that one can manage the calibration procedure and have very fast and precise pricing engines. This has now become possible on current mass-produced hardware involving multi-core CPUs, substantial physical memory and graphic card accelerators to be used as math co-processors.

This two day seminar is aimed at multiple audiences including analysts building trading systems for equity derivatives and structured products as it focuses on implementation issues and provides worked-out code examples. Traders and structures will learn how to take advantage of model agnostic engineering in their business practices and how a careful and detailed modeling of the real economic features of the processes involved allows one to gain insights on complex derivatives. It will also be examining the emerging class of regime-switching semiparametric models which afford the user much flexibility in model specification. The course reviews in detail calibration methodologies, model design, a number of exotic volatility derivatives and long-dated structured products and correlation products such as basket derivatives, quanto options and interest rate hybrids.

• Examine design strategies for realistic and economically meaningful derivative models

• Understand calibration strategies and pricing techniques for efficient valuation

• Review strategies for system design and data processing

• Understand the structuring and arbitrage implications of economic modeling

• Develop working knowledge of the emerging GPU platforms

• Acquire a no-frills working knowledge of the key mathematics tools upon which efficient engineering implementations are based

About your expert trainer:

Claudio Albanese 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 is currently Visiting Professor at King’s College London and works as an independent consultant and trainer. Among his recent clients there are several investment banks and hedge funds including Merrill Lynch, Bloomberg, Misubishi securities, CDC-IXIS, 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 achieve economic realism.

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 SystemsFrom 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