| Pricing Partners latest research work explained on the eve of the G20 Summit - Mar 09 |
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Pricing Partners latest research work explained on the eve of the G20 SummitParis - London - Pricing Partners presented their latest work on the impact of stochastic interest rates in local volatility jump diffusion models at the World Business Strategies (WBS) conference covering developments in the interest rate products market. In these times of financial crisis, this work is particularly relevant as volatility reached record levels. Precise quantification of market risk has become more than ever a priority. This work resulted from collaboration between E. Benhamou, A. Gruz, and A. Rivoira of Misys. The work was presented by Eric Benhamou, CEO of Pricing Partners. The regular World Business Strategies (WBS) event is a major one in the financial markets, especially in the quantitative community often called the "quants" world. The conference lasted over 3 days in London on the eve of the G20 summit on global finance. The latest developments on interest rate modelling, interest rate exotic and hybrid products were presented. In the 2009 edition, highly reputable market professionals such as Ricardo Rebonato (Global Head of Market Risk and Quantitative Research at Royal Bank of Scotland), Pat Hagan (Head of Quantitative Analytics at JP Morgan, famous for his stochastic volatility SABR model), Jochen Theis (Head of Quantitative Risk Management at Merrill Lynch), Claudio Albanese (Independent Consultant), Lane P Hughston (Professor of Financial Mathematics at Imperial College London), Roger Lord (Quantitative Analyst at Rabobank) and Sandine Ungari (Quantitative Strategy at Societe Generale) presented works of particular importance. For Pricing Partners, it was a great opportunity to present their most recent work.
Neil Fowler, Managing Director of World Business Strategies, said: "We welcome Pricing Partners to our WBS conference. The event is intended to be a forum of research for the most promising work, and we are happy to hear the latest advances from Pricing Partners.” Pricing Partners, www.pricingpartners.com, the independent valuation expert, is a company providing both a pricing library with its own analytics and an independent valuation service on derivatives, making its positioning quite unique. Using a pricing library developed by former professionals of the trading floor, working in investment banks like Goldman Sachs, Natixis, Societe Generale, or HSBC, Pricing Partners provides independent valuation for virtually most of the derivatives, from the vanilla to the most exotic financial products. Its assets coverage is quite extensive and includes derivatives on Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products. Commercialized as Price-it® Excel or Price-it® online, its pricing library enables independent evaluation and revaluation with similar tools and accuracy as leading investment banks. It enables to price, monitor and validate counterparties’ prices in pre-trade and post-trade operations and collateral calculations. Using a generic payoff language description that allows description of virtually any financial derivatives, Price-it® provides also Greeks, VaR, CvaR and the most common risk management tools. Pricing Partners solution is used by risk control groups in investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms. Its independent valuation service is a real plug and play service. After signing NDA and receiving characteristics of financial products like ISIN or termsheets, Pricing Partners provides its clients with its independent valuation prices saved on its secured website. Pricing Partners has its own proprietary market data and takes care of the whole pricing chain with accurate market data and analytics. About World Business Strategies: For more information, visit www.wbstraining.com or email
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