Current challenges for the FICC trading-floor quants

Practitioner Lecture Series

The talk will give a high level overview of some of the current challenges for modeling and trading, with focus mostly on Rates but also touching on FX / credit / hybrids. 

In particular:

a) swaps pricing / OIS curve construction / collateral pricing 

b) impact of stochastic basis and spread curves on flows/vanilla/exotics pricing

c) issues in vanilla IR modeling

d) disappearance of traditional long-dated exotics products

e) development of new hedge-fund style strategy products, modeling & trading issues

f) hedging simulations / replication 

g) technology / platform integration (needed for collateral & portfolio risk management)

h) Conclusion: likely move to higher frequency models, products with shorter maturities, implying need for cross-asset models and improved platforms    


Henrik Rasmussen (TwoPi Capital)

Monday, March 5, 2012 - 18:00
to 19:00