|Pricing Partners to Present its Latest Work on Variable Annuities at Paris Finance Meeting - Nov 09|
Pricing Partners to Present its Latest Work on Variable Annuities at Paris Finance Meeting
Paris-London: Pricing Partners (www.pricingpartners.com), the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today that Pierre Gauthier will be presenting the company’s latest work on Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities at the 7th Finance International Meeting in Paris on December 17 and 18, 2009 at the Pôle Universitaire Léonard de Vinci. Mr. Gauthier will present his engaging speech at 9:00 (GMT+1) on December 18th.
During his presentation, Pierre Gauthier, co-head of quantitative research at Pricing Partners, will discuss the pricing and hedging of variable annuities including the topics of stochastic interest rates and stochastic volatility modeling as shown in the article co-authored by E. Benhamou and P. Gauthier entitled “Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuity”. The focus of using stochastic financial models in life insurance market has become particularly relevant because of the growing success of GMxB.
Eric Benhamou, CEO of Pricing Partners, comments: “Pricing Partners has a strong tradition of cutting edge quantitative research and sharing its innovative and new concepts with the scientific community. The interaction is largely beneficial as we exchange with other leading experts and strengthen our significant authority as a strong scientific innovator. This is why I am always proud to hear that one of our quants will present his latest work at a world class international scientific conference.”
The paper is available on SSRN website: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1483736
For more information about the conference, please visit http://www.affi.asso.fr/199-conference-decembre-2009.htm
About Paris Finance International Meeting
The annual Paris International Finance Meeting is organized by AFFI (French Finance Association) and EUROFIDAI (European Financial Data Institute), and jointly sponsored by the CDC Institute for Economic Research, CNRS, Fondation Banque de France pour la Recherche en Economie Monétaire, Financière et Bancaire, Ministère de l'Enseignement Supérieur et de la Recherche and Pôle Universitaire Léonard de Vinci. Each December finance researchers are invited to present their latest research concerning any aspect of finance. The scientific committee (an international panel of 40 researchers) selects the best research papers from among the submissions in order to offer the highest quality presentations to those attending the meeting. This also serves to enhance exchanges between the researchers participating in the event.
The participation to the meeting costs 150 Euros (100 Euros for AFFI's members) and registration can be done on the website (http://www.affi.asso.fr/december2009.html).
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 which allows the pricing of 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, which give 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.
Pricing Partners has also signed numerous partnerships to distribute its technology with leading institutions like NYSE Euronext (for its independent valuation service via Prime Source), Misys (for its pricing library integrated into Summit), CMA and Fitch Solutions or Lexifi. It is a Microsoft IDEES partner, an IBM, Sun, Datasynapse and ActiveEon partner. Furthermore, it is a member of the grid research consortium GCPMF uniting BNP Paribas, Calyon, Ecole Centrale, EDF, ENPC, INRIA, Natixis, Misys, Pars VI University and Supelec and a global coordinator of the Credinext consortium, in collaboration with Prime Source, Lunalogic, Ecole Polytechnique, ENPC, University of Marne La Vallée and INRIA.
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