July 21, 2024

Thematic Program on Quantitative Finance:
Foundations and Applications January - June, 2010

April 15-16, 2010
Industrial-Academic Forum on
Credit-Hybrid Risk

Supported by:

Organizers: T. Bielecki, S. Crepey and M. Jeanblanc

to be held at the Fields Institute, 222 College Street Toronto

Registration on site April 15
Fees: $25 students/PDF
$200 Industry/Other
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The objective of this forum is to present selected current research and applications pertaining to three important niches of financial markets: equity-to-credit universe, counterparty risk universe and the universe of hybrid instruments. The invited speakers are a select group of practitioners and academics, whose research sets the frontiers of the three niches. The most recent theoretical results will be confronted with practical needs of financial institutions and regulators.

Confirmed speakers :

· Game Options, Convertibles and Hybrids:
Jan Kallsen (University of Kiel)
Yuri Kifer (Institute of Mathematics Hebrew University of Jerusalem)
Abdhallah Rahal (Bank AUDI)
Jean Francois Chassagneux (Université Denis Diderot (P7))

· Equity to credit:
Tom Hurd (McMaster)
Claudio Albanese (King's College, London)
Julien Turc (Société Générale Corporate & Investment Banking)
Rafael Mendoza-Arriaga (UTexas)

· Counterparty risk:
Agostino Capponi (California Institute of Technology)
Dan Rosen (R2 Technologies)
Giovanni Cesari (UBS)
Stephane Crepey (Evry University)

Tentative Schedule

Thursday April 15, 2010
8:50 - 9:00 Welcome and Introduction
Organizers & Fields Institute Director Ed Bierstone
9:00 - 9:50 Claudio Albanese (King's College, London)
Credit-equity models and High-Throughput Computing
10:00 - 10:50 Jan Kallsen (University of Kiel)
On the pricimg of game options and convertible bonds
11:00 - 11:50 Agostino Capponi (California Institute of Technology)
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
12:00 - 1:30 Lunch Break
1:30 - 2:20 Julien Turc (Société Générale Corporate & Investment Banking)
Joint modelling of credit spreads, share prices and volatility
2:30 - 3:20 Yuri Kifer (Institute of Mathematics Hebrew University of Jerusalem)
Perfect and Partial Hedging for Multiple Exercise (Swing) Game Options in Discrete And Continuous Time
3:30 - 4:30 Panel Discussion: Computational Support for Credit-Hybrid Risk
Moderator: Giovanni Cesari (UBS)
4:30 - 5:30 Reception - cash bar
Fields Atrium
Friday April 16, 2010
9:00 - 9:50 Rafael Mendoza-Arriaga (UTexas)
Time Changed Markov Processes in United Credit-equity Modeling
10:00 - 10:40 Jean-Francois Chassagneux (Université Denis Diderot (P7))
Pricing Game Option using Reflected BSDEs
10:40 - 11:00 Abdallah Rahal (Bank AUDI)
Pricing Game Option using Reflected BSDEs: Part II – Application to Pricing Convertible Bonds with call protection
11:10 - 12:00 Dan Rosen (R2 Technologies)
Pricing Counterparty Risk at the Trade Level and CVA Allocations
12:00 - 1:30 Lunch Break
1:30 - 2:20 Tom Hurd (McMaster)
Two factor models of equity and credit derivatives
2:30 - 3:20 Giovanni Cesari (UBS)
Modelling, Pricing, and Hedging Counterparty Credit Exposure
3:30 - 4:20 Stephane Crepey (Evry University)
CVA computation for counterparty risk assessment in credit portfolios
4:20 - 4:30 Closing Remarks

Confirmed Participants as of April 30, 2010

Full Name University/Affiliation
Albanese, Claudio King's College, London
Bielecki, Tomasz Illinois Institute of Technology
Capponi, Agostino California Institute of Technology
Cesari, Giovanni UBS AG
Chassagneux, Jean-François Université Denis Diderot (P7)
Crépey, Stéphane Université d'Evry
Decrem, Peter Quantifi, Inc.
Fahim, Arash Ecole Polytechnique
Ferguson, Ryan Scotia Capital
Frittelli, Marco University of Milan
Gardner, Douglas Wells Fargo
Grasselli, Matheus McMaster University
Huang, Haohan York University
Hurd, Tom McMaster University
Iyigunler, Ismail Illinois Institute of Technology
Jackson, Ken University of Toronto
Jeanblanc, Monique Université d'Evry
Kallsen, Jan Christian-Albrechts-Universität zu Kiel
Kifer, Yuri Einstein Institute of Mathematics
Kreinin, Alexander Algorithmics Incorporated
Lei, Mei TD Bank Financial Group
Lozinski, David McMaster University
Luong, Jack TD Bank Financial Group
Ma, Shuqing The Bank of Nova Scotia
Ma, Zhong TD Bank Financial Group
Mendoza-Arriaga, Rafael The University of Texas at Austin
Moukoukou, Arsene Garp, Praza
Paramsothy, Rega TD Bank Financial Group
Peng, Xianhua Fields Institute and York University
Pooley, David ITO33
Rahal, Abdallah Bank AUDI
Rodriguez, Rodrigo Illinois Institute of Technology
Rosen, Dan R² Financial Technologies Inc.
Ruiz, John TD Bank Financial Group
Salisbury, Thomas York University
Silla, Sebastiano Polytechnic University of Marche
Turc, Julien Societe Generale
Walker, Michael University of Toronto
Wiese, Anke Heriot-Watt University
Yi, Chuang Royal Bank of Canada
Zhou, Zhuowei McMaster University


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