7.45
Registration and breakfast

8.05
PRACTITIONERS VS REGULATORS DEBATE Moderator: Mark Brickell, Managing Director, JP MORGAN Michael Ong, Senior Vice President, ABN AMRO BANK Mike Brosnan, Deputy Comptroller for Risk Evaluation, OFFICE OF THE COMPTROLLER OF THE CURRENCY Adrian D’Silva, Director, Capital Markets, FEDERAL RESERVE BANK OF CHICAGO

8.55
Chairman’s opening remarks
Tom Coleman
CORNELL UNIVERSITY AND FINANCIAL
INDUSTRY SOLUTIONS CENTRE (FISC)
John Cabri, Director, Business development
SGI

9.00
GROUP THEORETICAL METHODS FOR OPTION PRICING
• Self-similarities and more general symmetry transforms in finance
• Explicitly solvable smile models
• Homogenous Black-Scholes equation
• A unified treatment of path-dependent options
• Lookback, Asian, timer, and passport options via dimensional reductions
• Variance and volatility swaps and options
• Imperfect hedging and other practical issues
Alexander Lipton
Vice President, FX Product Development
DEUTSCHE BANK

9.40
JUMP PROCESSES AND VOLATILITY SMILES
• Review of models for the volatility smile
• The problem of stabilising the evolution of implied volatilities
• Jump-diffusion process for stocks
• A forward PDE for European options
• Fitting of process to observed option prices
• Finite difference implementation
• Pricing of exotic options
Leif Anderson, Director
GEN RE FINANCIAL PRODUCTS

10.50
THE CHALLENGE OF VALUATION OF ENERGY RELATED DERIVATIVES
• Modelling the dynamics of energy prices
• Incomplete markets
• Complexity of the energy related contracts
– embedded options
– multiple layers if optionality
Vince Kaminski
Managing Director
ENRON CORP.

INNOVATION FORUM

11.30
EVALUATING THE WEB REVOLUTION IN FINANCE
Ashvin Chhabra
Vice President
MORGAN ADVICELAB, JP MORGAN
Darryll Hendricks
Senior Vice President, Bank Supervision
FEDERAL RESERVE BANK OF NEW YORK
Neil Chriss
President
ICOR BROKERAGE, INC.

12.10
Lunch sponsored by

1.40
PRICING AND HEDGING EXOTIC OPTIONS UNDER HEDGE CONSTRAINTS
• The difficulty of hedging knock-out options
• Systematic theory for controlling the gearing
• Relation to moving the barrier
• Relation to transaction cost for close out hedge
Steven E Schreve
DEPARTMENT OF MATHEMATICAL SCIENCES, CARNEGIE MELLON UNIVERSITY

NEW DEVELOPMENTS IN CREDIT RISK MODELLING

2.20
THE IMPACT OF NETTING AND BILATERAL SECURITY AGREEMENTS ON POTENTIAL CREDIT EXPOSURE CALCULATIONS
• Terminology
• Stand alone transaction calculations
• Issues arising in portfolio calculations
Ray Meadows
Vice President, Credit Risk Analytics
SALOMON SMITH BARNEY

3.30
CREDIT RISK MODELLING IN A MARKET MODEL FRAMEWORK
• Market Models: the modelling approach
• implied default probabilities
• modelling defaults consistently with implied default probabilities
• Derivative pricing in the model: default swap rates and asset swap rates
• Further derivatives: options on default swaps, caps on credit spreads
Dr Philipp Shönbucher
Department of Statistics
UNIVERSITY OF BONN

4.10
ADVANCED METHODS FOR PRICING CREDIT DERIVATIVES
• Combining existing approaches to price credit derivative structures
• Pricing default contingent interest rate derivatives
• Pricing default contingent foreign exchange structures
• Assessing credit risk in derivatives portfolios
• Pricing tranches of loan portfolios
Alla Gil, Director
Derivatives Capital Markets
SALOMON SMITH BARNEY

5.00
End of conference