8:00

Registration and coffee

09:00

Welcome address: Mauro Cesa, Technical Editor, RISK MAGAZINE

9:10

KEYNOTE: Arbitrage-free SVI volatility surfaces

Jim Gatheral, Professor of Mathematics, BARUCH COLLEGE, CUNY

09:50

Collateral, funding and discounting

Vladimir Piterbarg, Global Head of Quantitative Research, Barclays

10:30

Morning break and opportunity to network

STREAM ONE:   DERIVATIVES PRICING

STREAM TWO:  PORTFOLIO MANAGEMENT

11:00

Chairman's opening remarks:  Artur Sepp, Vice-President, BANK OF AMERICA MERRILL LYNCH

Chairman's opening remarks:  Yves Choueifaty, President, TOBAM

11:10

A quadratic Gaussian year-on-year inflation model for vanillas and exotics

Manlio Trovato, Head of Rates Quantitative Research, Rates Trading, LLOYDS BANKING GROUP

Properties of the most diversified portfolio

Yves Choueifaty, President, TOBAM

11:50

Modelling and hedging with two vol surfaces

Ser-Huang Poon, Professor of Finance

Manchester Business School, UNIVERSITY OF MANCHESTER

Consistent modelling of discrete cash dividends

Jan-Frederik Mai, Quantitative Analyst,  ASSENAGON CREDIT MANAGEMENT

12:30

Lunch and opportunity to network

13:30

CMS convexity with full volatility risk

Simon Cedervall, Quantitative Analyst, CITI BANK

Risk and portfolio management in the presence of stress events - a Bayesian Net approach

Riccardo Rebonato, Head of Rates and FX Analytics, PIMCO

14:10

Stochastic and local volatility models

Artur Sepp, Vice-President, BANK OF AMERICA MERRILL LYNCH

14:50

A critique of funding and counterparty risk valuation: new challenges

Damiano Brigo, Professor of Financial Mathematics, IMPERIAL COLLEGE

15:30

Afternoon break and opportunity to network

16:00

Valuing with correlation smile

Peter Austing, Quantitative Analytics Group, BARCLAYS

16:40

Model risk in funding and CVA models

Massimo Morini, Head of Interest Rate and Credit Models, Coordinator of Model Research, BANCA IMI

17:20

Chairman's closing remarks: Artur Sepp, Vice-President, BANK OF AMERICA MERRILL LYNCH

17:30

Networking drinks reception. End of day one