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