---------- 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 participate in the seminar. See: http://www.frontiers-in-finance.com/ * MODALITES DE PARTICIPATION : Les Petits Dejeuners de la Finance, organises par l'association FRONTIERES EN FINANCE a travers un partenariat entre des chercheurs et des professionels du milieu bancaire et financiers constituent une occasion d'echanges entre les praticiens des marches et les chercheurs universitaires, en apportant aux premiers les resultats des travaux de modelisation quantitative et aux seconds la confrontation aux problematiques concretes des professionels. La participation au Petit dejeuner est ouverte uniquement SUR INSCRIPTION PREALABLE et dans la mesure des places disponibles. Une priorite est accordee aux organismes partenaires de Frontieres en Finance. Les modalites de partenariat sont disponibles sur demande aux organisateurs. Pour vous inscrire, envoyer la fiche d'inscription http://www.fiquam.polytechnique.fr/finance/inscription.html par e-mail a : frontieres.finance(a)laposte.net en indiquant votre nom, prenom et vos coordonnees precises (adresse, affiliation, telephone, e-mail ) ainsi que votre affiliation professionnelle avant la date limite. Frontieres en Finance http://www.frontiers-in-finance.com/ Cet été, pensez aux cartes postales de laposte.net !