Global Derivatives & Risk Management 2010

Hotel Concorde LaFayette

• Robert Engle, Michael Armellino Professor of Finance, STERN NYU
• Peter Carr, Head of QFR, Bloomberg
• Emmanuel Derman, Professor, Columbia University
• Jim Gatheral, Managing Director, Merrill Lynch
• Norbert Walter, Chief Economist, Deutsche Bank
• Vladimir, Piterbarg, Managing Director, Barclays Capital
• Leif Andersen, Global Head GCIB Quantitative Research, Bank of America Merrill Lynch
• Jesper Andreasen, Global Head of Quantitative Research, Danske Bank
• Alex Lipton, Co-Head of the Global Quantitative Group, Bank of America Merrill Lynch
• Arthur Berd, Head of OTC & Macro Volatility Strategies, Capital Fund Management
• Lorenzo Bergomi, Head of Quantitative Research, Societe Generale
• Alex Bernand, Global Head of Structured Credit Products, Deutsche Bank

• Assessing The Key Factors Driving The Future Shape Of Derivatives Markets
• Understanding Regulatory Expectations For Clearing Houses & Capital Requirements Moving Forward
• How Are Firms Incorporating Volatility, Correlation, & Liquidity Challenges
• CREDIT: Counterparty Risk & Modelling CVA
• INTEREST RATES: Fixing SABR's Asymptotic Approximation
• EQUITIES: Simultaneously Pricing Options On A Multiplicity Of Stocks
• VOLATILITY: Using Local Variance Gamma Models