---------- Forwarded message ----------
Date: Thu, 27 Nov 2014 15:49:34 +0100
From: summerschoolmathfi <summerschoolmathfi(a)cmap.polytechnique.fr>
Subject: Conference: Challenges in Derivatives Markets
(...)
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Conference at TUM (March 30 -- April 01, 2015): Challenges in
Derivatives Markets: Fixed income modeling, valuation adjustments,
risk management, and regulation
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Dear colleagues,
it is our pleasure to announce the conference “Challenges in
Derivatives Markets: Fixed income modeling, valuation adjustments,
risk management, and regulation”, for which we would like to invite
you as contributed speaker or visitor. The conference will take place
at Technische Universität München, March 30 – April 01, 2015.
Thanks to our generous sponsor KPMG, the registration fee for the
3-day event is only 155 Euro.
We are especially proud having
· Damiano Brigo,
· Stéphane Crépey,
· Ernst Eberlein,
· John Hull,
· Wolfgang Runggaldier,
· Luis Seco,
· Thorsten Schmidt, and
· Wim Schoutens
among the confirmed speakers. So we are looking forward to an
extraordinary scientific event to which we hope you will contribute
with your presentation/attendance.
The aim of the conference is to provide a venue for practitioners and
academics working with derivatives to present state-of-the-art
research, exchange ideas, and share visions on future developments in
the field. The first focal point of the conference will be on recent
developments in interest-rate modeling and derivatives pricing.
Various types of multi-curve term structure models and especially
post-crisis extensions of the Libor market model will be discussed.
The second focus will be put on counterparty and liquidity risk in a
global derivatives market. Derivative valuation and risk management in
the presence of collateral and liquidity issues will be the central
topics with special regard to valuation adjustments such as CVA
(credit valuation adjustment), DVA (debt valuation adjustment), FVA
(funding valuation adjustment), and other XVAs as well as their
interplay. Emphasis will be put on modeling and pricing, as well as
risk management and regulatory aspects. More information is given on
the website
http://www.mathfinance.ma.tum.de/kpmgce/conference-challenges-in-derivative…
To facilitate the organization of the event, your registration by
December 20, 2014 is highly appreciated. If you are interested in
providing a contributed talk (these will most likely take place on
Wednesday, April 01, 2015), please provide us an abstract/paper of
your presentation.
***