Monday 5th March 2012 – 18:00 to 19:00
Speaker: Henrik Rasmussen (TwoPi Capital)
The talk will give a high level overview of some of the current challenges for modeling and trading, with focus mostly on Rates but also touching on FX / credit / hybrids.
In particular:
a) swaps pricing / OIS curve construction / collateral pricing
b) impact of stochastic basis and spread curves on flows/vanilla/exotics pricing
c) issues in vanilla IR modeling
d) disappearance of traditional long-dated exotics products
e) development of new hedge-fund style strategy products, modeling & trading issues
f) hedging simulations / replication
g) technology / platform integration (needed for collateral & portfolio risk management)
h) Conclusion: likely move to higher frequency models, products with shorter maturities, implying need for cross-asset models and improved platforms
Part of the Practitioner Lecture Series