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THE QUANTS HUB IS NOW LIVE!

Welcome to The Quants Hub (quantshub.com)

The Quants Hub is a comprehensive online resource for Quantitative Analysts, Risk Managers, Structuring and Trading Desks, Model Validation, Programmers & Developers & Financial Engineers that combines video training from world-renowned expert instructors with a rich library of resources for self-paced, distance learning. We offer an interactive and adaptive e-learning experience with fully inclusive Live Global Q&A Webinar, forums and training capabilities for financial professionals.

This platform empowers you and your institution to create an individualised bespoke educational library resource.

Libor Market Model vs H&W. State of the Art Implementation and XVA Application

Presenter: Massimo Morini: Head of Interest Rate & Credit Models, Banca IMI

  • From the foundations of fixed income to the credit crunch multicurve market
  • The different approaches to modelling interest rates
  • Short rate models and Hull&White: pros and cons and technical features
  • The Libor Market Model: technicalities and practical application
  • Volatility, Correlation and Smile Modelling
  • The extension of models to the Multicurve world: bootstrap, calibration, stochastic evolution
  • Comparison between short-rate models and Libor Market Model: pricing and hedging Bermudans and other exotics
  • The Credit, Debt, Funding and Capital Value Adjustments. Building a framework for Exposures and XVAs
  • Comparing IR Models in XVA application: calibration, correlation, netting sets, sensitivities and computational efficiency

Day schedule: 09:00 – 17:30

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Details

Event Location:

Sheraton Frankfurt Congress Hotel
Lyoner Strasse 44-48
60528 Frankfurt am Main
Germany
Tel: +49 (0)69 6633 0 
Hotel Website

Sponsorship:

World Business Strategies offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352

Disclaimer:

World Business Strategies command the rights to cancel or alter any part of this programme.

Cancellation:

By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.

Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.