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Discounts & Incentives:

Early Bird Discounts: 10% Before 28th February. Plus register to the Main Conference + Workshop and receive a £150 discount.

The 3rd Interest Rate Conference

If you are looking for a conference on Interest Rate related topics come along and attend the only two streamed conference of its kind that is dedicated to your function. Other conferences may have Interest Rates topics as part of the programme (or a single stream), however not the entire two streamed event!

Due to the huge success of the first two Interest Rate Conferences, WBS Training are pleased to announce that we are back in London on 12th, 13th & 14th March 2014 for The 3rd Interest Rate Conference. The highly popular two streamed format will be retained along with a workshop day being presented on Wednesday 12th March. Delegates will get access to all main conference presentation files, available to download via our password protected website before the event.

Pre-Conference Workshop Day: Wednesday 12th March:

Multi-Curve Framework: Foundations, Evolution and Implementation by Marc Henrard: Quantitative Research, OpenGamma

Main Conference: Thursday 13th March:

Stream A: Interest Rate & Volatility Modelling

Stream B: Latest Collateralized Pricing & Modelling Techniques

Main Conference: Friday 14th March:

Stream A: CMS Spread Options, Swaps & FX

Stream B: The Evolution of Funding Value Adjustments

Main Conference Selected Topics:

  • A Unified Approach to Correlation Trading
  • Pricing and Hedging of Variance Swaps on a Swap Rate
  • When trading contracts on multiple underlyings we must take the correlation smile into account
  • Conditional Monte Carlo Pricing of long and short dated FX Exotics
  • Conditional Monte Carlo for stochastic volatility: short dated FX exotics;
  • Recent issues in the pricing of collateralized derivatives contracts
  • Consistency between internal pricing models and settlement prices computed by CCPs
  • Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, residual CVA, Funding and CCPs
  • Pricing Funding, Extension to Funding Value Adjustment
  • Portfolio level FVA analytics
  • FVA for General Instruments: Theory and Practice
  • Dynamic Models for the Long Rate of Interest
  • Arbitrage Free SABR

Invited & Confirmed Presenters:

Claudio Albanese:  Professor, Department of Mathematics, King’s College London
Alexander Antonov: 
Senior Vice President, Quantitative Research, Numerix
Peter Austing:
Imperial College

Damiano Brigo: Professor & Co-Head Of Mathematical Finance Imperial College London
Antonio Castagna: Partner, IASON
Rohan Douglas: CEO, Quantifi

Andreas Geisselmeyer: Rates Quants, Quantitative Product Group Markets, UniCredit Bank
Pat Hagan: Consultant & Mathematics Institute, Oxford University
Marc Henrard: Quantitative Research, OpenGamma
Brian Huge: Chief Analyst, Danske Markets

Lane P. Hughston: Brunel University and University College London
Jean-Paul Laurent: Professor of Finance, University Paris 1 Pantheon-Sorbonne
Jörg Lotze: Technical Lead & Co-Founder, Xcelerit:

William McGhee: Head of Hybrid and FX Options Quantitative Analytics Markets, RBS
Guillaume Macey: Global Head of Quantitative Research, Global Rates, HSBC
Claudio Moni: Quantitative Analyst, QuaRC, RBS Group Risk Analytics
David Pfeffer: Director, Portigon
Deimante Rheinlaender: Quantitative Analyst, ICAP
Alexander Sokol: CEO and Head of Quant Research, CompatibL

Pascal Wojtaszczyk: Head of Interest Rate Derivatives & Interest Rate Trading, Banco Sabadell

Important notes:

Main Conference presentation files on USB memory sticks will be provided on arrival. The Main Conference files will also be made available for download via a password protected website before the event. Please print out each presentation if you wish to have hard copies before the conference and bring them with you. 

Also, Wi-Fi access will be available at the hotel venue to view presentations on laptops, iPads etc.

Conference Bookings: Discount Structure:

  • Early Bird Discount: 20% Before 31st January
  • Early Bird Discount: 10% Before 28th February
  • Main Conference + Workshop (£150 Discount)
  • Receive an extra 5% discount when booking 3 or more delegates
  • 70% Academic Discount (FULL-TIME Students Only)

Main Sponsor: Numerix

Numerix is the leading provider of analytics software and services for structuring, pre-trade pricing and analysis, trade capture, valuation, and risk management, with support for commodities, credit, equities, fixed income, foreign exchange, inflation, and hybrid instruments. Founded in 1996, Numerix has over 700 clients and 50 partners across more than 25 countries.

Gold Sponsor: CompatibL

CompatibL is a software integrator and consultancy specializing in CVA/FVA/PFE, limits, and Basel compliance. CompatibL’s unique blend of expertise in quantitative and engineering aspects of the project makes us an ideal partner for complex implementations involving advanced Monte Carlo analytics and complex trade, market, and reference data. Our customers are some of the most respected firms in the financial industry including 4 dealers, 3 supranationals, over 20 central banks, and 3 major financial technology vendors.

For more information visit:

Gold Sponsor: Quantifi

Quantifi Solutions

Quantifi is a leading provider of analytics and risk management software for the global OTC markets. Winner of Risk Magazine’s 2012 Risk Management Product of the Year, we are trusted by the world's most sophisticated financial institutions, including five of the six largest global banks, to help them better value, trade and risk manage their exposures.

Quantifi Counterparty Risk is a next generation counterparty risk system designed from the ground up to uniquely satisfy the rapidly evolving needs of regulatory compliance, corporate reporting and CVA trading and hedging. Incorporating the market’s most advanced, high performance Monte Carlo engine combined with super-scalable grid computing, Quantifi Counterparty Risk can support even the largest, most complex portfolios including those with significant wrong-way risk.

Learn how Quantifi, with first to market support for the latest innovations like Funding Valuation Adjustments (FVA), can help you today.

Gold Sponsor: Xcelerit

Xcelerit is a leading software provider of cross-platform acceleration tools for financial services, engineering, and research. Xcelerit technology allows Quantitative Analysts to unlock the performance of accelerators (GPUs and multi-core) with minor modifications to their existing source code. Our partnerships with leading hardware vendors and systems integrators have enabled us to deliver a full solution from initial consultancy, training, hardware integration and software acceleration. Our satisfied customers include the leading firms in investment banking, asset management, and insurance.

For more information visit:

Silver Sponsor: Wiley

Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.

With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.