Quant Congress USA 2007

Draft programme Day one : Thursday 12 July 2007

Editor’s opening remarks:

Keynote’s opening ( academic keynote):

Keynote’s opening ( special guest):

Chief Risk Officer roundtable: Living in risky climate: Are we taking it seriously?

Growing demand for free market mechanism
Current deals assessment
What is the impact on insurance companies and hedge funds

Morning break and an opportunity to visit the exhibition hall

Advanced modelling, option pricing of derivatives

Latest innovation in risk management and measurement

Chairman’s opening remarks

Examining credit correlation modelling: what can be done better?

The problems with base correlation
- Mapping methods
- Maturity issues
- Regional impact
New products
- Long/short CDOs
- Wedding cake structures
- Synthetic CDOs with cash features
The implied loss surface
The implied copula approach

Jon Gregory

Implementation of Basel II and its validation:

Reviewing the financial market, who is doing what
Variety of models is there-who will get the prize for the best approach?
How to find most suitable IRB model for YOUR company
Estimation of default probability
Recovery rate

Rupert Cox

Cliquet payoffs on multi underlying products:

Overview of the market
Approaches for valuation
Computation of implied volatilities/correlations
Pricing cliquet payoffs consistently with the vanilla, exchange traded options

Economic capital modelling:

How to combine aggregated risk of the financial institutions
Examining different diversification of risk, integration of different types
Risk allocation and contribution/attribution
Benefit diversification
Basket options and rainbow options
Capital requirements

Til Schuermann

Beyond HJM and the Libor Market Model: Interest Rate Options in Quantum Finance

Review of HJM and BGM Swaption Price
Quantum Field Theory of Forward Interest Rates
Feynman Perturbation Expansion for European Swaptions
Empirical test of Swaption Price
Algorithm for Pricing American Swaptions

What Is a Good Risk Measure?

Controversy of the Tail Conditional Expectation
Advantage of Using VaR
Axioms for VaR
Consistency of VaR with Market Psychology
Robustness of VaR
A Justification of Using VaR in Basel II

Steve Kou

Lunch and an opportunity to visit the exhibition hall

Developments in volatility derivatives pricing:

Model independent result
Bueher’s consistent variance curve models
Examining calibration and pricing of volatility derivatives

Jim Gatheral

Measuring correlation risk

Review of linear correlation
Different parameterizations of correlation matrices
Generating distributions of correlation entries and correlation matrices
Correlation VAR
Examples

Roza Galeeva

Pricing CDOs with a smile: a local correlation approach

CDO local correlation vs. equity local volatility
Building a local correlation from the base correlation skew under the large pool assumption
Fitting the local correlation curve directly to market data without the large pool assumption
Comparing the market practice for pricing and hedging CDOs to the local correlation model. We present the results of the fitting process and give first numerical results in term of both marked-to-market and hedge ratios.

Assessing macrostructure modelling:

How to combine data efficiently
Is there a new model which consists of multiple models applies to standard data and economic data at the same time?
Where an issue lies: Frequent calibration?

Antonio Garcia Pascual

Afternoon break and an opportunity to visit the exhibition hall

Interest rate volatility. Description of the dynamics of the swaption matrix

Risk budgeting and portfolio construction:

Portfolio risk measurement
Expected shortfall and other appropriate measures for actively measured portfolios
Static vs dynamic risk measurement
Risk constraints and implications for asset allocation
Portfolio construction strategies

Managing non-maturity deposit interest rate risk:

Strategies for margin stabilization between investment return and client coupon
How to manage interest rate and funds transfer pricing more accurately

Finding the key to success for CDPC ( Credit derivative product company):

Investment strategies
Looking at the investment type
Relationship between hedge fund and CDPC
Managing issues and challenges

Inflation link derivatives

Financial engineering of leveraged buyouts in incomplete markets

Continuous-time equity models and a conditional quant rejection of the Miller-Modigliani theorem
Simultaneous valuation of the acquiring and of the target company
The non-hedgeable risk premium: market risk, interest rate risk, credit risk
Risk management in incomplete markets: partial, yet the most conservative hedging

Srdjan Stojanovic

Constructing implied volatility in option market:

VV approach
Smile-consistent pricing formula

LP’s perspective : Issues with leverage buyouts events

CDS
arbitrage
how to manage risk

Valuation method for exotic options in multi-factor Libor market

New challenges
Monte Carlo procedure
Cancellable snowball swap

Stress scenario for measurement skew in measurement outlier risk

Chairman’s closing remarks

Cocktail reception

End of day 1

Draft programme Day two : Friday 13 July 2007

Editor’s opening remarks:

Keynote’s address:

Morning break and an opportunity to visit the exhibition hall

Innovative strategies and enhancements in credit modelling, measurement and products

Quantitative portfolio risk management

Chairman’s opening remarks

The use of synthetic bespoke CDOs in investments ( TBC)

Model dynamic
Assessing volatility and correlation risk
Calibration
Pricing bespoke tranches

Claudio Albanese

Applying portfolio risk management to hedge fund:

Hedge funds strategies
How to generate return
Risk and return of hedge funds
Return replication
Returns based on passive investments
Clones construction

Pricing CDOs in Multifactor Models

Using a multifactor Gaussian copula to match implied correlations
Challenges in pricing with multifactor models
Using correlation expansions to leverage single-factor models
Fast pricing through the quadratic transform approximation method

Paul Glasserman

Asset management strategies:

Separating market related return
Being able to earn alpha in a short time
Ability to time the market
Practical application
risk and return characteristics in typical strategies employed by hedge fund managers
How do managers respond to crisis

Lunch and an opportunity to visit the exhibition hall

Intensity based credit model

Peter Carr

Scenario analysis of the risk performance of a hedge fund:

Quant vs hedge fund perception
How to price ABX trances

Measure of profitability ( Risk adjust return on capital)

Validation of credit derivatives model:

Credit derivative option
Dynamic of losses

Martin Goldberg

The pros and cons for adopting different methods of multi functional stock selection:

Utilising dynamic strategies for multi-functional stock selection
Extra factor return
Customized stock selection

Afternoon break and an opportunity to visit the exhibition hall

Hybrid cash and synthetic CDO structure:

CDO default estimation
CDO new Gamma model
Tranches on CDO

Building blocks for portable beta:

Overview of the market
Have we found a potential niche for offering beta alone?
Portable beta vs potable alpha mechanism
- Products and its market
- Different underlying
- Driving force

Portable beta is proving to bring humble return
Predicting the future for hedge fund management

Development and latest evolution of new products: CPDO and CPPI?

What is the implication on the credit market?
Taking a close look at CPDO technical site
What is the option on derivatives?
What is the correlation basket option?
Learning how to use these products more efficiently

New models for using the loan portfolios:

Examining LCDS and its characteristic
Driving liquidity in LCDS, evaluating the creation of indices linked to CDS on loan
Development of a synthetic loans market
What is the role of indices in the examining market

Hybrid capital securities model

Valuation
Risk management

Bank risk with credit portfolio function:

What are the relationship and communication level between analyst and shareholders?

Levy Processes jumping into Credit Risk: Pricing exotic options on CDSs and CDOs under jump models

jump models of CDSs: fast pricing and calibration
pricing of vanilla options on single name CDSs
exotic option pricing under jump driven CDS spread dynamics
modelling of CDO index spread dynamics under jump models
options on CDOs index products under jump models

Issues of systematic and unsystematic risk in portfolios:

Application of saddle point methods to the calculation of tranches and shortfall in loss distribution

Valuation of credit ABS:

How to model ABS
ABS correlation
Pricing a mortgage insurance ABS
How to estimate default for underlying ABS
How to comprise ABX indices

Quantitative methods for segregated data in hedge fund using historical return vs position based return ( current portfolio)

Credit spread dynamic

Bespoke corporate correlation

Unbundling alpha and beta

An overview of standard techniques
The issue of model uncertainty
A Bayesian search for an attribution model
- Manager selection and formulation of succesful hedge fund portfolio construction strategies
- Extensions and impact on the industry:
  - predictability of hedge fund returns,
  - portable alpha strategies,
  - passive replication of hedge fund performance