[FAM-news] Petit Dejeuner de la FInance 13 Sept 2006 (fwd)

Walter Schachermayer by way of Andreas Schamanek schamane at fam.tuwien.ac.at
Tue Sep 5 13:53:12 CEST 2006


---------- Forwarded message ----------
From: Walter Schachermayer <wschach at fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Tue,  5 Sep 2006 12:57:28 +0200
From: frontieres.finance <frontieres.finance at 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 at 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 !




More information about the FAM-news mailing list