---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue, 5 Sep 2006 12:57:28 +0200
From: frontieres.finance <frontieres.finance(a)laposte.net>
Subject: Petit Dejeuner de la FInance 13 Sept 2006
** Registration deadline: Sept 8, 2006 *********
FRONTIERES EN FINANCE
http://www.frontiers-in-finance.com/
a le plaisir de vous annoncer le prochain
PETIT DEJEUNER DE LA FINANCE
Mercredi 13 Sept 2006, 8:00 - 9:30
Maison des Polytechniciens
12 rue de Poitiers 75007 Paris
Metro: Solferino / Musee d Orsay
avec une presentation de:
Julien TURC ( Societe Generale )
PRICING CDOs WITH A SMILE: THE LOCAL CORRELATION APPROACH
The local correlation model is an extension of the traditional
one-factor Gaussian model. It makes correlation a function of
the economy. In the
large pool framework, there is a simple and approximate
formula for deducing the local correlation from the base
correlation skew. We present
also a more robust process for fitting the local correlation
curve directly to market data. Incidentally, we show that the
base correlation skew is not a straight line, at least under
within this framework. On low strikes, it must have the shape
of a smile rather than that of a skew.
ABOUT THE SPEAKER:
Julien TURC is a Senior Strategist in the Quantitative
Strategy group at Société Générale Corporate & Investment
Banking. He joined Société
Générale in 2001. Prior to that, Julien worked as a
Quantitative Analyst on the Credit Derivatives desk at IXIS
CIB. Julien graduated from
Ecole Polytechnique (Palaiseau) and ENSAE (Malakoff). He has
been a lecturer in the Masters program in Probability and
Finance at Paris VI University for several years.
-----------------------------------------------
The Petit Dejeuner de la Finance is a monthly seminar
organized in Paris by Frontiers in Finance, an association
whose goal is the diffusion of quantitative methods in risk
management. Registration is free but compulsory in order to
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http://www.frontiers-in-finance.com/
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praticiens des marches et les chercheurs universitaires, en
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modelisation quantitative et aux seconds la confrontation aux
problematiques concretes des professionels.
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