There is still no standard interest rate model suitable for all kind of interest rate products and markets. This makes it particularly important to have knowledge on a broad range of models used in practise. The workshop aims at presenting a survey on popular models used in the industry (ranging from short rate models to LIBOR market models). Further, a particularly suitable 2-factor-Hull-White-model concept will be presented that sets up a generic pricing framework for a wide range of exotic and standard products and allows for simple calibration.
Key features:
• Concise introduction to a wide range of interest rate models
• Presents pricing methodology for numerous interest rate products
• Sets up a complete, generic pricing framework including software demonstration
• Application oriented and pedagogical presentation
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• Enhance your knowledge of interest rate modelling and pricing;
• Experience the design of a generic pricing framework;
• Learn how to deal with a wide range of pricing problems for interest rate products.
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| Quants, actuaries, risk managers. |
TIME |
TOPIC |
Presenter |
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DAY 1 PROGRAMME |
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9.00 |
REGISTRATION AND COFFEE |
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9.15 |
Ice Breaker session |
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9.30 |
1. Interest rate modelling: Popular models, simple products, and further aspects – Part I
- Introduction (Technical terms, basic properties, yield curve fitting)
- Short rate modelling (Popular one-factor models (Vasicek, CIR, Hull-White, …), general factor approach)
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Prof. Dr. Ralf Korn |
10.30 |
COFFEE BREAK |
|
11.00 |
2. Interest rate modelling: Popular models, simple products, and further aspects – Part II
- Calibration aspects
- Forward rate approach (HJM framework, Cheyette model)
- Further aspects
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Prof. Dr. Ralf Korn |
12.30 |
LUNCH |
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13:30 |
3. Aspects of the 2-Factor-Hull-White Model
- Introduction (Form and properties)
- Closed formulas for caps/floors and swaption prices
- Calibration
- Numerical methods
|
Dr. Jorg Wenzel
Fraunhofer ITWM |
14.45 |
TEA BREAK |
|
15:15 |
4. Generic Pricing of Structured Interest Rate Products in a 2-Factor-Hull-White Framework
- Generic description of the floating coupon
- Call/put options and path-dependent products
- Software concept and demonstration
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Dr. Jorg Wenzel
Fraunhofer ITWM |
16.00 |
Discussion and Feedback |
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DAY 2 PROGRAMME |
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| 9.30 |
Introduction and Review of Day 1 |
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| 9.45 |
Presentation 1 – Fraunhofer ITWM |
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9.45 |
1. Aspects of the LIBOR Model and Pricing of Some Exotic Products in Practise – Part 1
- Why LIBOR ?
- Basic properties (Definitions, dynamics, closed pricing formulas)
- Factor reduction and calibration
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Dr. Jorg Wenzel
Fraunhofer ITWM |
| 10.45 |
Coffee |
|
11.15 |
2. Aspects of the LIBOR Model and Pricing of Some Exotic Products in Practise – Part 2
- Multiple exercise products and pricing with the Longstaff-Schwartz method
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Dr. Jorg Wenzel
Fraunhofer ITWM |
| 12.15 |
Discussion Session |
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| 12.30 |
Lunch |
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| 13.30 |
Pricing and Calibration of Rational Lévy Interest Rate Models(To Be Confirmed)
Within the "positive interest" term structure framework, a new class of models driven by a range of Lévy processes are introduced. The models lead to analytically tractable expressions for the prices of options, swaptions, and their associated deltas. The models are calibrated against market data, and this is used to determine market implied short rate and risk premium processes. |
TBA |
| 14:30 |
Tea |
|
| 15:00 |
Market Inputs to the Yield Curve Model: Pros and cons of the different approaches
This lecture considers the alternatives available when selecting which market inputs to use when constructing the yield curve, including money market yields, futures prices, swap rates and bond redemption yields. It also looks at the most appropriate cut-off points for each type of input, and best-practice approach to overlapping different input types.
|
Moorad Choudhry |
| 15.30 |
Discussion Session |
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| 16.00 |
Tea and close. |
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Prof. Dr. Ralf Korn, University Kaiserslautern, Fraunhofer Institute for Industrial Mathematics Kaiserslautern
Ralf Korn is Professor of Financial Mathematics at the Univ. Kaiserslautern (Germany). He is also heading the Financial Mathematics group at the Fraunhofer Institute for Industrial Mathematics ITWM in Kaiserslautern which collaborates in numerous projects with the finance and the insurance industry. He has written five books (the most recent one on “Monte Carlo Methods and Models in Finance and Insurance”) and has published over 50 papers in refereed journals.
Dr. Jörg Wenzel is deputy head of the Financial Mathematics Department of Fraunhofer Institute for Industrial Mathematics (ITWM) in Kaiserslautern, Germany. He received his PhD in Mathematics from the Friedrich-Schiller-University in Jena, Germany. He is co-author of a book on orthonormal systems and Banach spaces and has published many research articles. At ITWM he is responsible for managing projects in option pricing and interest rate derivatives valuation and works on problems in stochastic analysis.
Professor Moorad Choudhry has over 21 years experience in investment banking in the City of London and was most recently Head of Treasury at Europe Arab Bank plc. He was previously Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank.
Moorad was educated at Claremont Fan Court School in Surrey, England, then at University of Westminster and University of Reading. He obtained his MBA from Henley Business School and his PhD from Birkbeck, University of London. He is Visiting Professor at the Department of Economics, London Metropolitan University, Senior Research Fellow at the ICMA Centre, University of Reading and Visiting Research Fellow at CARISMA, Brunel University. He is author of The Credit Default Swap Basis (Bloomberg Press 2006) and Bank Asset and Liability Management (John Wiley & Sons 2007).
Moorad is an FRM and Fellow of the Global Association of Risk Professionals, a Fellow of the ifs-School of Finance and a Fellow of the Chartered Institute for Securities and Investment. He is on the Editorial Board of the Journal of Structured Finance and the Editorial Advisory Board of the American Securitization Forum.
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Industry Rate: 2 days £1025 + VAT
Thanks to our sponsors, there are a limited number of generous bursaries available for academics and research students so they can attend at reduced rates.
For more information regarding bursaries, please contact us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com
Discounted rates for group bookings can be also arranged on request.
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