Registration and coffee

Welcome address

KEYNOTE ADDRESS: Financial innovation and financial stability: A difficult relationship
Peter Praet, Chairman, Banking Supervision Committee of the ESCB and Executive Director, NATIONAL BANK OF BELGIUM

KEYNOTE ADDRESS: Taking LDI to the next level: A new approach

• Dynamic risk budgeting
• Asymmetric risk/return strategies
• From strategic asset allocation to “risk of state” allocation
• Separating hedging, Alpha and Beta in practice

Lars Rohde, CEO, ATP

CHIEF RISK OFFICER ROUNDTABLE: State of the art quantitative models

• How effective quantitative risk management can ensure stability and restore declining confidence in the financial system
• Did models survive the crisis? What has been happening? What are the new models emerging?
• Subprime crisis and operational risk
• The mortgage environment and the prospects for the future
• Forecasting defaults and recoveries in 2009

Moderator: Vasilios Siokis, Chief Risk Officer, CHEYNE CAPITAL MANAGEMENT
Kanwardeep Ahluwalia, CRO-Financial Markets, SWISS RE
Dave Nole, Chief Risk Officer – Consumer Banking, WACHOVIA BANK

Morning break and an opportunity to network

STREAM THREE: New frontiers in hybrid products and alternative markets

STREAM FOUR: Quantitative portfolio management and asset allocation strategies

Chairman’s opening remarks

Chairman’s opening remarks

Recent development in commodity derivatives market

• Market participants: Behavioral and structural changes
• and impact on the marketplace
• Derivatives instruments: Product evolution and growing
• demand for managing new risks
• Challenges in modelling volatility for commodity options
• Future growth trends

Ilia Bouchouev, Managing Director, Head of Energy Derivatives, KOCH SUPPLY & TRADING

Modelling financial asset and strategy returns

• An econometric model for variable volatility, fat tails and skewness
• Term structure of expected returns, risk and Sharpe ratios
• Alternative risk-adjusted return metrics for non-normal returns

Arthur M. Berd, Head of OTC Strategies, CAPITAL FUND MANAGEMENT INTERNATIONAL

Inflation-linked derivatives: Latest trading perspectives in the UK, Euro-zone, and US markets

• RV between cash and swap markets
• Main drivers in each market
• Trading opportunities and how to spot them
• The inflation options market and how they are developing
• Modelling challenges and areas with the greatest needs for development work

Dariush Mirfendereski, Managing Director, Head of Inflation Linked Trading, Rates/Fixed Income, UBS

Portable Alpha: New opportunities for structuring portfolios

• Successful beta and alpha-management
• Long-short techniques for alpha-management
• Reducing portfolio risk through diversification
• Budgeting market risks and active manager risks
• Consequences for future developments in asset management

Thorsten Neumann, Head of Quantitative Strategies, UNION INVESTMENT INSTITUTIONAL GMBH

Lunch and an opportunity to network

PLENARY ADDRESS: The FSA’s regulatory approach to interest rate models

• Interest rate risk in the banking book
• Traded risk and interest rate risk
• Interest rate risk of life insurer

Paul Sharma, Director, Wholesale and Prudential Policy, THE FINANCIAL SERVICES AUTHORITY, UNITED KINGDOM

Inflation and inflation hybrid derivatives modelling

• Inflation convexity trades and options
• Real rate options
• Inflation - interest rate hybrids
• The inflation smile
• Single factor and multi factor inflation models

Manlio Trovato, Director, Head of Inflation Derivatives Quantitative Research, LLOYDS TSB

How to employ derivatives in investment funds

• Analysing the position of derivatives within investment management
• Data management infrastructure
• Modelling requirements
• Regulatory considerations

Speaker to be confirmed: please visit www. quantcongresseurope.com for further details

Special “call for paper” session
Models with time-dependent parameters using transform methods: Application to Heston´s model

• Description of a general methodology to introduce timedependent parameters preserving analytic tractability for a wide family of models, including hybrids with stochastic volatility, stochastic interest rates and jumps
• Application of this methodology to Heston´s model
• Calibration of Heston´s model to the EUROSTOXX 50 index. Two different calibrations of the same set of vanilla prices are obtained and discussed
• Application of the method to price Heston´s forward start vanilla options
• Study and comparison of the forward skew obtained from both previously discussed calibrations

Alberto Elices, Senior Quantitative Analyst, Model Validation Group, GRUPO SANTANDER

Garch volatility assessment for asset relative risk in quantitative portfolio management

• Weak convergence of the martingale problem solution
• Calibration of volatility risk measures through GARCH diffusion
• Translation of different mutual funds risk profiles into volatility measures
• Risk representation to investors: Migration risks Empirical analysis
• Giovanna Maria Boi, Senior Quant Analyst, the Quantitative

Giovanna Maria Boi, Senior Quant Anayst, The Quantitative Analysis Unit, CONSOB

Afternoon break and an opportunity to network

Long dated FX and equity hybrids

• Model agnostic system engineering
• Designing regime switching models for FX, equity and rates
• Modelling correlations by dynamic conditioning
• Calibration: Strategies and optimization algorithms
• Pricing path dependent structures
• Using GPUs and GPU clusters

Claudio Albanese, INDEPENDENT CONSULTANT

Perspectives of low-cost algorithmic trading

• High performance computing in finance
• What is beyond grids, multi-core and FPGA?
• Overview of available GPGPU solutions
• Challenges of “off-black-box” data management: Low latency data bases and connectivity

Drago Indjic, Project Manager, BNP Paribas Hedge Fund Centre, LONDON BUSINESS SCHOOL

Carbon emission allowances as derivatives in incomplete markets

• Introduction of carbon emission allowances as a traded commodity
• Assessing price driver for carbon intensive industries:
• Steel production or power generation
• Trading carbon emission allowances in a multi-period setting, with or without banking possibilities
• Modelling for carbon trading where we highlight the derivative nature of specific contracts induced by a regulatory arbitrage relation
• Deriving the price of spot carbon allowances as function of the price for the first nearby contract in the framework of optimal filtering theory

Michel Verschuere, Head Of Structuring, Trading and Portfolio Management, SUEZ - ELECTRABEL

Mean-variance asset allocation with put and call options

• Real-world versus risk-neutral probability distributions for stock returns
• Derivation of the optimal payoff for a single stock when options are ava ilable at all strikes
• Buying put options and selling call options for an increase in sharpe ratio
• Incorporating aversions to skew and kurtosis
• Applicability concerns for this approach

Paul Doust, Global Head of Quantitative Analysis, ROYAL BANK OF SCOTLAND

Chairman’s closing remarks

End of congress