NAG Quant Day London 2008 Quantitative Modelling & Financial Market Dynamics 21 February 2008

The Numerical Algorithms Group (NAG) and the finance publication Wilmott hosted a city seminar for finance industry professionals on 21st February 2008. The seminar included speakers from industry and academia, and was open to those working within the finance industry.

Speakers:

  • Ser-Huang Poon - Manchester Business School, University of Manchester
    “Interest rate models for asset liability management”

    In comparison to models for equity and commodity, interest rate model has added complexity and extra dimensions of issues for the modeler to consider. This talk will compare four interest rate models, namely the HW (Hull-White), BK (Black-Karasinski), LMM (libor market model) and SMM (swap market model) for the purpose of asset liability management in a global bank. All four models make fundamentally different assumptions on the evolution of interest rates and are based on different interest rates. HW and BK are short rate models that are easier to implement and control for early exercise decision in interest rate options. The LMM and SMM are based on high dimension of forward libor and swap rates. They have greater flexibility in terms of calibration but it is harder to control for early exercise decision. This project compares the performance of these four models by pricing and hedging a 10-year Bermudan swaption which resemblance a typical loan portfolio. The analysis is heavy in computation and we will show how NAG routines have been used at various stages during the investigation.

    For full details of this presentation please click here

  • Ely Klepfish - UBS AG
    “Risk modelling, portfolio optimisation and performance backtest”

    A backtest generates a time sequence of portfolios reflecting investment decisions at the time of rebalancing. These decisions result from optimising the expected returns against their estimated risk and with imposition of holding and turnover restrictions. Identification of key risk factors and corresponding stock sensitivities are crucial to this process. We present in this talk the principles of UBS country-sector risk model, followed by results for optimised backtest. At each successive rebalancing, risk model is generated and optimised portfolio is evaluated. Essential performance statistics are calculated. The impact of risk aversion, holding and liquidity constraints is analysed.

    For full details of this presentation please click here

  • Mike Giles - Mathematical Institute, University of Oxford
    “Multilevel Monte Carlo Path Simulation”

    This presentation will address the multilevel method which combines results from Monte Carlo path simulations with differing time steps to achieve a user-specified accuracy at a much lower cost than standard Monte Carlo. The ideas will be introduced with a simple Euler discretization of a European call option, and then extended to the higher-order Milstein method and Asian, lookback, barrier and digital options. Further computational savings will be demonstrated by combining the technique with Quasi Monte Carlo methods.

    For full details of this presentation please click here

Venue: 7city Learning, 4 Chiswell Street, London EC1Y 4UP
Time: 6.00pm - 8.45pm - followed by drinks and canap's
Registration - free of charge.

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