7.45
Registration and breakfast

8.15
Opening address

8.20
KEYNOTE PRESENTATION
Myron Scholes, Frank Buck Professor of Finance (emeritus)
STANFORD UNIVERSITY, Partner, OAK HILL CAPITAL MANAGEMENT

9.05
KEYNOTE PRESENTATION
Jeffrey K. Skilling, President and COO, ENRON CORP.

9.50
PANEL SESSION RISK MANAGEMENT OVER THE NEXT FIVE YEARS - CURRENT TRENDS AND FUTURE DEVELOPMENTS
Moderator: Matthew Crabbe, Editor, Risk Magazine
Emanuel Derman, Managing Director, Firmwide Risk Management, GOLDMAN SACHS
Maureen Miskovic, Head of Risk Management, LEHMAN BROTHERS
Anthony Pesco, Managing Director, Strategic Risk Management, CREDIT SUISSE FIRST BOSTON
Thomas R. Fischer, Member of the Board of Managing Directors, Group Risk Officer, DEUTSCHE BANK

11.45
Chairman’s opening remarks
Eric Reiner, Managing Director
WARBURG DILLON READ

LATEST RESEARCH IN INTEREST RATE MODELLING

11.50
IMPLEMENTING STRING MODELS OF THE TERM STRUCTURE
• What are string models?
• Fitting correlations
• Simulation implementations
• Relative valuation of swaps and options
• Empirical results from the US and Asia
Francis Longstaff
Andersen Graduate School of Management
UCLA

12.30
THE IMPLEMENTATION OF THE LIBOR MARKET MODEL
• The relationship between LMM and HJM
• Incorporating multiple factors
• Impact of the number of factors on price
• Incorporating volatility skews
• Calibration
• Pricing Bermudan swap options
John Hull
Professor of Finance
UNIVERSITY OF TORONTO

1.10
Lunch

Sponsored by

FORECASTING AND MODELLING CORRELATION AND VOLATILITY

2.30
PRICING CLAIMS UNDER GARCH-LEVEL DEPENDENT INTEREST RATE PRODUCTS
• Single factor models for pricing claims
• Time series models for spot interest rates
• GARCH-level dependent interest rate processes
• Analytical models for bond prices for one stochastic driver - two state variable models
• Analytical models for prices with multifactor models
• GARCH models that nest Cox-Ingersoll-Ross and other models
• Efficient algorithms for computing prices of interest rate claims
• Beyond GARCH models to regime switching interest rate models
• Handling non-normal innovations
• Extensions
• Summary
Peter Ritchken
Kenneth Walter Haber Professor of Finance,
WEATHERHEAD SCHOOL OF MANAGEMENT,
CASE WESTERN RESERVE UNIVERSITY

3.10
DYNAMIC HEDGING AND A LOCAL IMPLIED VOLATILITY FUNCTION
• Computation of a smooth local volatility surface
• Stability and smoothness properties
• Computational results involving hedging experiments
Tom Coleman
CORNELL UNIVERSITY AND FINANCIAL
INDUSTRY SOLUTIONS CENTRE (FISC)

4.20
RATIONAL SHAPES OF THE VOLATILITY SURFACE
• Arbitrage bounds
• How stochastic volatility affects shape
• How jumps affect the shape
• The impact of default risk on the shape
• Implications for parameterisation of the volatility surface
Jim Gatheral
Managing Director, Global Equity-Linked Products
MERRILL LYNCH

5.00
UNDERSTANDING THE ORIGIN OF SINGLE STOCK, BASKET AND INDEX VOLATILITY SKEWS
• Relevant questions for options and volatility investors
• Implied probability distributions and skews
• Are the volatility skews of index and single stock options justified by historical data
• Ranking equity options by strike-adjusted spreads
• Correlations between stocks vary with the market returns
• Determining the cause of basket and index volatility skews
• Estimating the size of basket skews
Joe Zou
Vice President, Quantitative Strategies
GOLDMAN SACHS

5.40
JUMP DIFFUSION MODEL FOR OPTION PRICING WITH THREE PROPERTIES: LEPTOKURTIC FEATURE, VOLATILITY SMILE AND ANALYTICAL TRACTABILITY
• Leptokurtic feature
• Volatility smile
• Analytical solutions for variety of option pricing problems
Steve Kou
COLUMBIA UNIVERSITY

6.20
Closing remarks from the chair

6.25
Cocktail party sponsored by

7.30
Congress dinner sponsored by