Barcelona Financial Engineering Seminar

   

A forum where financial practice meets academia.

To be held monthly at Borsa de Barcelona.
Place: Borsa de Barcelona
Sala d'Actes
Borsa de Barcelona
Passeig de Grācia, 19
08007 Barcelona (except for particular cases)

Check location here
Time: Sessions begin at 11:00h (except for particular cases)
Programme 2008-2009:

January 22, 2009 at 16:00h
AFI, Aula 1, Madrid (Check Location here)

January 23, 2009
Borsa de Barcelona, Sala d'actes, Barcelona

The trouble with triangles

Benjamin Nasatyr, Head of Foreign Exchange Quantitative Research
The Royal Bank of Scotland
Global Banking and Markets

Poster Session

Programme 2007-2008:

December 10, 2007

Inaugural Session: Gamma process dynamic modelling of credit

Martin Baxter, Director. Fixed Income. Nomura International. London

February 15, 2008
Volatility arbitrage: a practitioner's approach to cross asset implementation
Stephen McCauley, Principal Managing Scientist. Winton Capital Management

March 14, 2008
Modeling liquidity and feedback effects from dynamic hedging
Jesper Andreasen, Managing Director. Fixed Income Quantitative Research, Bank of America. London

April 11, 2008
Hyp Hyp Hooray!
Peter Jaeckel, Head of Credit, Hybrid, Inflation and Commodity Derivative Analytics. ABN AMRO

May 26, 2008

Please note, this session begins at 16:00

Generic methods for volatility calibration in term structure models
Vladimir Piterbarg, Managing Director, Global Head of Quantitative Analytics Barclays Capital

June 13, 2008

Please note, this session begins at 16:00

Efficient pricing and calibration of multi-currency interest rate products with FX skew
Robert Dargavel Smith, Managing Director, Banco Santander

September 19, 2008

Please note, this session begins at 16:00

Levy base correlation
Wim Schoutens, Catholic University of Leuven

 
Flyer: Click here to download the flyer for the latest editions of the Barcelona Financial Engineering Seminar
Scientific Committee: Sebastian del Baņo Rollin, Centre de Recerca Matemātica
Organisers:

Centre de Recerca Matemātica

Borsa de Barcelona

Associaciķ Barcelona Centre Financer Europeu
Registration: Registration to this activity is free but if you would wish to attend please send the information below to Quant@crm.cat

  • Full name

  • Company name and address

  • Business area

  • E-mail address

  • Telephone number

Deadline for Registration is one day before each talk
Lodging information: For information on lodging in the area, click here
Additional information:

For further information, please contact the CRM Secretariat

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