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08:00 Registration and breakfast
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8:50 Opening remarks: Mauro Cesa, Technical Editor, RISK
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9:00 Keynote address: Bubbles, market efficiency and option pricing
- The basics of option pricing theory revisited
- The true meaning of no arbitrage
- The relevance of price bubbles
- The importance of complete markets
- The importance of market efficiency
- Risk neutral valuation in perspective
- The hidden limitations of the current theory
Robert A. Jarrow, Professor of Finance, CORNELL UNIVERSITY
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9:40 Panel discussion: FVA: Debating derivatives pricing theory vs. current market practice
- Can FVA be separated from CVA (DVA) without double counting?
- The unrealistic assumptions on treasury leading to FVA=0
- Remaining risks under collateralization
- Can FVA be charged? Can it be bilateral?
- Funding management logistics: treasury and trading floor practices
- Trading via CCPs and impact on clients access
Wujiang Lou, Senior Vice President, HSBC US
Dongsheng Lu, Managing Director, BNY MELLON
Mark Syrkin, Financial Institution Supervision Group, Federal Reserve Bank of New York
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10:20 Morning coffee break
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Stream 1
Credit, collateral and funding
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Stream 2
Volatility and correlation modeling and trading
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10:50
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Chairman's opening remarks:
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Chairman's opening remarks:
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11:00
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Real time counterparty credit risk management with adjoint algorithmic differentiation (ADD)
- Pathwise derivative method
- Algebraic adjoint approaches
- Adjoint algorithmic Differentiation (AAD)
- AAD and the pathwise derivative method: adjoints made easy
Luca Capriotti, Director, Investment Banking Division, CREDIT SUISSE GROUP
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Efficient solution of backward jump-diffusion PIDEs with splitting and matrix exponentials
- Operator splitting on financial processes to provide second order approximation in time
- Transformation of a linear non-local integro-di?erential operator (jump operator) into a local non-linear (fractional) di?erential operator
- New approaches to discretize this operator with first and second order of approximation in space, while the whole scheme is unconditionally stable and preserves positivity of the solution, and is as fast as FFT
- Multiple examples for popular jump models, such as Merton, Kou, VG, CGMY etc.
Andrey Itkin, SVP, Head of Quantitative Development, NUMERIX
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11:40
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Hybrid structural default modeling
- Hybrid method: the firm value / first passage approach applied for complex capital structure with asset price following jump-diffusion process
- Application of compound option pricing model to estimate company's credit quality
- Building full term structure of survival and default probabilities using forward induction
Marat V. Kramin, Director, Fixed Income Analytics, WELLS FARGO SECURITIES
Stephen D. Young, Chief Risk Officer of Affiliated Managers Division, WELLS FARGO ASSET MANAGEMENT
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Multi-factor unspanned stochastic-local volatility model
- Linearity-generating processes for unified modeling of asset prices
- Adding stochastic and local volatility
- Mapping onto a non-linear Quasi-Birth-Death process
- Model calibration and computational approaches
Igor Halperin, Executive Director, Quantitative Research, JP MORGAN
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12:20
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FVA illustrated and defined - a segregated option economy
- Endogenous recovery and replication of a segregated, counterparty defaultable option economy, PDE and definition of FVA
- What notional amount to use for FVA calculation?
- FVA due to asymmetric funding rates, and collateral remit rates
- FVA due to sec lending/repo haircut
Wujiang Lou, Senior Vice President, HSBC US
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Filtering stochastic volatility from implied volatility
- Use of filtering techniques to determine stochastic volatility
- Using new information to get better quality observations
- Distinction of continuous and discrete frameworks.
Alireza Javaheri, Head of Equities Quantitative Research Americas, J.P. MORGAN
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1:00 Lunch
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2:00
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An efficient simulation model for CVA/FVA calculations
- CVA/FVA basics and calculations
- CSA netting, correlations and random numbers
- Credit migrations and credit simulations
- Greeks, incremental risk and wrong way risk
Dongsheng Lu, Managing Director, BNY MELLON
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Stream 3: Call for paper winners
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Risk welcomes the submission of technical articles to be presented at the Quant Congress USA 2013. The closing date for papers submission is June 7th 2013. Please send submissions to Joanna Rejman
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2:40
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Intra and inter correlations in credit default loss distributions
- Individual and collective modes of loss formation
- One-factor formalism implementation
- Vasicek type distribution with composite parameters
- Practicalities and perspectives
Mark Syrkin, Financial Institution Supervision Group, FEDERAL RESERVE BANK OF NEW YORK
Ali Shirazi, Bank Examiner, Bank Supervision Group, FEDERAL RESERVE BANK OF NEW YORK
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Risk welcomes the submission of technical articles to be presented at the Quant Congress USA 2013. The closing date for papers submission is June 7th 2013. Please send submissions to Joanna Rejman
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3:20 Afternoon coffee break
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3:50 Plenary: Swaption smile Via Vol dynamics
- The relationship between implied vol dynamics and the implied vol smile
- Three determinants of implied vol drift
- A simple parametric form for the implied volatility smile
- Pricing variance swaps, FVA's and other implied vol derivatives
Peter Carr, Managing Director, MORGAN STANLEY
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4:30 Afternoon keynote address: The proper use of derivatives
- Sell side vs buy side: differences in objectives and methods
- Integrating exposure, view and risk constraints
- Aligning a product to a need: propositions for a better practice
Bruno Dupire, Head of Quantitative Research, BLOOMBERG
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5:20 Cocktail reception
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