Time: 16-17 November 2009
Venue: London, United Kingdom

Presenters: Dr Dorje C Brody - Reader in Mathematical Finance, Imperial College London; Professor Lane P Hughston - Professor of Mathematical Finance, Imperial College London; Dr Andrea Macrina - Lecturer in Financial Mathematics, King's College London; Dariush Mirfendereski - Head of Inflation Linked Trading, UBS; Brice Benaben - Global Head of Inflation Trading, Deutsche Bank.

• Overview of main issues for inflation modelling
• Pricing kernel techniques for inflation
• Calibration of the term structure models for real and nominal interest rates
• Foreign exchange, equity indices, commodities, and inflation
• Modelling inflation-linked derivatives
• Modelling commodity prices and their relation to inflation
• "Theory and Practice of Inflation Derivative vs Inflation-Indexed Bond Relative Value Pricing"
• "Post-Credit Crunch Approaches to Trading Inflation Derivatives"
• Global Inflation Products Portfolio: A Practical Approach of Managing Inflation & Deflation Risks
• Inflation Risk and Asset and Liability Management

For more info http://www.wbstraining.com/...

Advertising