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QuantMinds International
13 - 16 November 2023
InterContinental O2London

Interest rate & LIBOR agenda

We've got a whole stream of content focused on interest rate modelling and trading alongside the LIBOR transition on Wednesday 4 November. Key topics under discussion include:

  • Looking forward to backward-looking rates: completing the generalized forward market model
  • Quantitative impacts of LIBOR fallback
  • Efficient pricing of rates and hybrid derivatives post-Libor
  • Dawn to fusk of Libor: fallbacks, value transfers, and spread adjustments
  • Swaptions modelling in a risk-free rate framework
  • Tenor basis model  
  • Modelling interest rate and FX derivatives with division algebras
  • Lifting the heston model
  • First correction to ATM swaption prices in HJM model
  • Trading strategies in interest rates – to what extent can we predict whether there is a good time to be long or short on the benchmark?

Why Not Also Attend:

IBOR Workshop

Friday 15 May 2020

Workshop Leader: Marc Henrard, Visiting Professor, University College London 

Modules will include an overview of the regulations and the impact of new benchmarks, the alternative benchmarks and risk management.

Volatility Workshop

Monday 11 May 2020

Workshop leader: Bruno Dupire, Head Of Quantitative Research, Bloomberg L.P.

Modules will include the fundamentals of volatility, models, derivatives and trading and arbitrage.