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Pricing Partners latest research work explained on the eve of the G20 Summit - Mar 09

 

Pricing Partners Derivatives-Pricing-Analytics-Independent-Valuation    Pricing Partners WBS-world-business-strategies
  

Pricing Partners latest research work explained  on the eve of the G20 Summit

Paris - 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. 


Eric Benhamou said: "We are proud to be invited to a conference as prestigious as the World Business Strategies one to present our latest work on the explicit calculation of the bias generated by random interest rate in a local volatility model with jump. This discovery can create hybrid models consistent with those commonly used in equity and foreign exchange and thus take into account the smile risk in hybrids in the same way as single asset business. In these times of high volatility, the smile risk must be monitored accurately. We noticed that the models that best resisted during the financial crisis were those modelling correctly the various risks, including the problem of smile. Pricing Partners has a philosophy of leveraging on the latest knowledge and innovations in financial mathematics and never sacrificing the complexity of the financial world to a naïve models. Models can provide valuable assistance in the decision especially in these troubled times."
 

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:
WBS Training organizes workshops and conferences for the capital markets and treasury divisions of investment companies worldwide, with all our efforts centered solely on the education of our clients. WBS Training does not operate to present dozens of events every year. Instead we select only the most innovative, pertinent and dynamic subjects, thus bridging the gap between the latest theoretical developments through to proven practical trading floor requirements. Therefore, we aim to ensure that such requirements can be effectively implemented in the real financial world.
 Our depth of experience within the training environment provides us with a greater knowledge and understanding of what our clients require from financial business training. This promotes the unique position of us delivering the quality and service that is crucial to our client's continued success and competitive advantage in the market place. We have a flexible approach which allows for a more personal relationship with our clients. Furthermore, we do listen to what our clients want.
 

For more information, visit www.wbstraining.com or email This e-mail address is being protected from spambots. You need JavaScript enabled to view it
 

About Pricing Partners
Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics. Thanks to Price-it online, a SaaS platform, Pricing Partners provides independent valuation from the vanilla to the most exotic financial products on most assets (Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products). Pricing Partners develops and commercializes Price-it Excel, an analytic and independent pricing library using a generic payoff language description that allows it to price virtually any financial derivatives. Price-it also supports VaR, CVaR and the most common risk management tools. Pricing Partners is the only company completely mastering the chain of valuation, developing both its own pricing library and a valuation platform giving its clients very accurate and reliable valuation as a result of its intrinsic knowledge of the pricing tools. Pricing Partners solutions can be used by investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms.
 
For more information, visit www.pricingpartners.com or contact the Marketing team, This e-mail address is being protected from spambots. You need JavaScript enabled to view it , Tel: +33 1 5526 43 00