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The Quants Hub is a comprehensive online platform for Quantitative Analysts, Risk Managers, Structuring and Trading Desks, Model Validation, Programmers & Developers & Financial Engineers. This empowers you and your institution to create an individualised bespoke educational library. Use the Quants Hub as a learning resource for your team, or part of your companies learning & development strategy.

Workshop fee: £599.00 + UK VAT.

Friday 29th August: Understanding Inflation and Inflation-Linked Products by Brice Benaben

Presenter: Brice Benaben: Managing Director and Head of Inflation Research, New Sky Capital

Part 1: Inflation, From Economic Indicator into a Financial Instrument  

  • Forecasting inflation: Philips Curve and impact of QE, forward guidance)
  • From macro-economic model into financial model: Fisher equation and inflation risk premium
  • Short term inflation: impact of commodity, currency shocks
  • Short term inflation: impact on 1) Inflation reset products and on 2) the carry of inflation linked products


Part 2: Inflation Products, From Understanding Their Structure into Trading Them

  • Evolution of the linear inflation instruments
  • Inflation-linked bonds: structure (multiplicative and additive structure) and important features (seasonality, carry, floor option)
  • Building tools to analyse the inflation-linked bonds (carry, seasonality, option adjustments)
  • Inflation swaps: the different structure
  • Building a forward CPI curves
  • Link between Inflation bonds and swap: ASW
  • Building tools to calculate accurately the ASW (par-par, net proceeds, z-spread)


Part 3: Modelling Inflation-linked Products

  • Evolution of inflation modelling: JY models and Market models
  • A closer look at the convexity adjustment
  • Example of the models’ calibration
  • Risk: a segmentation of the risk
  • Examples of risk projections


Part 4: Inflation Option

  • Evolution of the inflation option: YoY cap/floor, ZC cap/floor, real yield option
  • Understanding the smiles (UK, Euro-zone, US)
  • Example of inflation option pricers


Workshop Schedule: 09:30 – 17:00

Break: 11:00 – 11:15
Lunch: 12:45 – 13:45
Break: 15:15 – 15:30

About the Presenter

Brice is Managing Director and Head of Inflation Research at New Sky Capital. He has 15 years of investment experience. Previously, he has held positions as Managing Director and Global Head of Property Derivatives and Inflation Trading at Deutsche Bank, Deputy Head of Inflation at Citibank, Head of Inflation Structuring at ABN AMRO, Head of Fixed Income and Portfolio Strategy at Credit Agricole Indosuez, and Portfolio Manger/Trader at the IFC (World Bank Group).

Brice is editor and co-author of "Inflation Sensitive Assets" (RiskBooks, upcoming with Stefania Perrucci), editor and co-author of "Inflation-Linked Products" (RiskBooks 2005), co-editor and co-author of "Inflation Risks and Products" (RiskBooks 2008), and has co-authored the chapter “Real Estate Indexes and Property Derivative Markets” in "Mortgage and Real Estate Finance" (RiskBooks 2008). He is a graduate of the University of Oxford, where he studied applied mathematics.

Details

Location:

Radisson Blu Portman Hotel
22 Portman Square
London W1H 7BG
Hotel Website

Flight details:

All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.

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.