anybody has these slides ?1) www.wbstraining.com/php/events/showevent.php?id=117 Stefano Galluccio: Co-head of exotic and hybrid derivatives trading, BNP ParibasModel misspecification and hedging robustness: Theory and impact on risk management Model misspecification in models driven by general mixed processes in presence of stochastic volatility Determine closed-form expressions for the total replication error Examples of important cases Hunter: Hybrids Trader, BNP ParibasImpact of Jumps on Correlation ModellingIntroduction Dependence Copula Implied Correlation Local Correlation Multi-Asset Jump Diffusion Definition Calibration Pricing Jump Correlation Model Definition Calibration Pricing Summary 2) www.financial-conferences.com/pdfs/E43806.pdf Valuing and hedging equity derivatives• Smile modelling• Stochastic volatilty• Exotic option pricing• Multi-asset option pricing• Equity-hybridsMarcus Overhaus, Managing Director, Global Head QuantitativeResearch and Structuring, Global Equity Derivatives, DEUTSCHE BANKHybrid derivative product modelling• Introduction to hybrid products• Pricing and hedging European hybrids• Term structure modelling for pricing path-dependent and callablehybrid structuresChristopher Hunter, Hybrid Derivatives Trader, BNP PARIBASEquity-IR hybrids modelling: jump-diffusion, stochasticvolatility and beyond• Non-affine SVJD models• European option pricing in linear-quadratic models• Model calibration• Efficient numerical methods for PIDE's• Beyond SVJD: conditional processes and subordinationStefano Galluccio, Exotics and Hybrid Derivatives Trader and Headof Exotic Structuring, BNP PARIBASThe challenge of hybrid derivatives• The needs for hybrids• Hybrid model specification• Calibration issues and techniques• Limit cases• Pricing and hedging fund derivatives• Multi-asset exotic optionsYoussef Randjiou, Director, Hybrid Derivatives Research, CITIGROUP3) www.incisive-events.com/public/showPage ... plications of CDO modelling techniques in credit portfolio management■ Credit portfolio management in a nutshell■ A brief review of CDO modelling techniques■ Implied correlation with applications to public and non-public credit■ Loss contributions in CDOs and related instruments■ Cost-to-securitize and applications in portfolio management■ Perspectives on tailor-made credit insuranceChristian Bluhm, Managing Director, Credit Portfolio Management, Credit Risk Management, CREDIT SUISSE, ZURICH11.40 Variance products and their role in volatility as an asset class■ Volatility products as a portfolio hedge/risk management tool■ Using OTM puts, long variance swaps and long correlation products (including dispersion trades) to protect against market downturns■ Empirical/relative performance of volatility products■ Backtesting and pricing issuesKevin Chang, Director & International Head of Derivatives Solutions, CREDIT SUISSE 13.40 Strategies for trading volatility skew■ The nature of the Black-Scholes implied volatility skew and what it relates to in the ‘real world’■ The rationale for trading skew as an asset, with a review of historical stock and index skew■ The impact of skew changes on simple options strategies, including option spreads and collars■ How implied volatility skew relates to conditional volatility prices, traded through conditional variance swaps■ How a trader might implement a view on skew steepness, primarily through the trading of variance swaps and volatility swaps■ The experiences of clients and our flow-trading desksChristopher B. Ward, Director, Global Equity Derivatives Strategy Group, DEUTSCHE BANK The hybrid derivatives challenge¦ Hybrid derivatives¦ Need for hybrid products¦ Hybrid products and solutions¦ Issues with hybrid derivatives¦ Model misspecification¦ Need for consistency across asset classes¦ Pricing and hedging hybrid derivatives¦ Know your limitsYoussef Randjiou, Head of Hybrid Quantitative Research, CITIGROUP

I need these too.

Since the Conference is in 2007, you probably won't find the slides.Best to see if his other working papers/publications meet your need.Otherwise see.Mathematical FinanceVolume 16 Page 519 - July 2006doi:10.1111/j.1467-9965.2006.00281.x Volume 16 Issue 3 MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS Rama ContUncertainty on the choice of an option pricing model can lead to "model risk" in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we introduce a quantitative framework for measuring model uncertainty in the context of derivative pricing. Two methods are proposed: the first method is based on a coherent risk measure compatible with market prices of derivatives, while the second method is based on a convex risk measure. Our measures of model risk lead to a premium for model uncertainty which is comparable to other risk measures and compatible with observations of market prices of a set of benchmark derivatives. Finally, we discuss some implications for the management of "model risk."

Thanks, but many of these are NOT in 2007. Some of them are in the last two years.anyone ?

QuoteOriginally posted by: Moneyanyone ?the authors, maybe??

I found this page:galluccio_1

Thanks a lot, the stuff is quite good but not easy to follow given the maths are quite complex.In a nutshell, what conclusion can I draw for the slides ?

anyone ?

in most case, powerpoint slides are pretty useless unless you actually attended the event...normally a set of bullet points and equations which are meaningless without insight and explanation from the tutor, who may explain reasoning behind them, practical implementation of them, etc...you''re better off searching for the paper, or previous works by the author and use them as your starting point.

CB, hit me with a pm. I have a note for you. (Your e-mail is off.) Thanks

any one ?