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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Adjusting Stochastic Volatility Processes for Negative Interest Rate Scenarios

Assessing the impact of uncertain volatility and lower boundaries on the valuation and risk management of OTC derivatives

14-15 Dec 2017
Milan, Italy


Why You Should Attend

Adjusting Stochastic Volatility Processes for Negative Interest Rate Scenarios

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

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.

Zero-bound has been broken in a number of markets

How will you benefit?

The recent financial crisis has once more shown that volatility is far from deterministic and can fluctuate widely. This apparent stochastic behaviour of volatility has been seen across the globe in both developed US and European markets as well as in Asian and emerging markets. Furthermore, the zero-bound has been broken in a number of markets. In these times of rapidly changing volatility and low interest rates, practitioners have to reassess the impact of uncertain volatility and lower boundaries on the valuation and risk management of some of the more common OTC derivatives products such as caps / floors and swaptions. A firm understanding of the impact of SV on these products is essential for understanding the impact on more exotic structures such as (callable) range accruals, CMS spread swaps, and so forth. Also, forward volatility-dependent contracts such as mid-curve and forward starting swaptions which have a marked dependence on the shape of volatility have increased.

This 2-day PC-based workshop will provide delegates with both a practical understanding of stochastic volatility dependent products, and a theoretical understanding of some of the more popular stochastic volatility processes and how to adjust them for negative interest rate scenarios.

About your expert trainer:

Jeroen Kerkhof

Jeroen is the founder and director of VAR Strategies, a financial consultancy and analytics firm. In addition he is the Academic director of the Advanced Master in Quantitative Finance at Solvay Brussels School.

Jeroen has over 16 years of experience in interest rate, inflation, property, hybrid derivatives and counterparty risk valuations. His former roles include Global Head of Analytics at Jefferies, Head of Non-Linear Interest Rates at Danske Bank, Senior Interest Rate quant at Lehman Brothers and European Head of Quantitative Fixed Income Research at Morgan Stanley. He obtained a PhD in Financial Econometrics from Tilburg University while working part-time in the Product Analysis Group at ABN-AMRO Bank. He has published several articles in internationally refereed journals.

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?

Trading: Flow, Proprietary, Arbitrage, Structured Products and Customer Trading

Interest Rate Derivatives Trading

Portfolio Management and Strategy

Market Risk

Alternative Investments

Quantitative Analysis and Research

Derivatives Research

Structuring

Risk Management

Risk Analysis and Control

Data Monitoring and Analysis

Model Risk & Model Validation

Corporate Treasury


Key Topics

  • Reassess the impact of uncertain volatility on valuation and risk management of OTC derivatives
  • Understand the implications zero-bound being broken in a number of markets
  • Gain a practical understanding of the implications of negative interest rates on pricing
  • Understand spanned vs. unspanned volatility and its impact on risk management
  • Learn about Model risk analysis of volatility dependent products

  • Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.







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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Veronika Sapronova


    101 Finsbury Pavement
    London
    EC2A 1ER

    Telephone:
    +44 (0)20 3002 3435
    Fax: +44 (0)20 3002 3016
    Email: veronikasa@marcusevansuk.com