On 10-11th March, 2010 I presented my researches at the RISK's Training - Pratical approaches to managing model risk, London. My bulletpoints for the presentation can be found in the details of this post. For further details, please, visit http://incisive-events.com/modelrisk.

Keywords: model risk, scenario analysis, model validation, derivatives, pricing, calibration, volatility dynamics, stochastic skewness, stochastic smile, model parameters, state variables, Value-at-Risk.

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On 10-11th December, 2009 I will present my researches at the RISK's Training - Volatility Trading, London. My bulletpoints for the presentation can be found in the details of this post. For further details, please, visit http://www.incisive-events.com/volatility.

Keywords: volatility trading, risk management, calibration, stochastic volatility, stochastic skew, characteristic methods, risk premia, Value-at-Risk, stress test, credit value adjustment.

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On 4-5th November, 2009 I participate a panel discussion and I host the post-conference workshop at the IQPC 3rd Volatility Trading Summit, New York. My topic of the panel and the description of my workshop can be found in the details of this post. For further details, please, visit http://www.volatilitytradingsummit.com.

Keywords: volatility trading, modelling financial asset price dynamics, risk management, hedging strategies, greeks, local volatility, stochastic volatility, stochastic skew, characteristic methods, calibration, risk premia.

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On 15th July, 2009 I present my recent researches at the Statistical Inference for Lévy Processes with Applications to Finance Workshop, Eindhoven. This workshop is the 4th in a series of workshops dedicated to Lévy processes and their applications in Mathematical Finance. The presentation slides and the abstract are attached to this post.

Keywords: derivatives, pricing, calibration, volatility dynamics, stochastic skewness, stochastic smile, model parameters, state variables, differential evolution, Levenberg-Marquardt.

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On 16th April, 2009 I present my recent numerical researches at the 3rd Conference on Numerical Methods in Finance, Paris. The presentation slides, the abstract as well as the conference program are attached to this post.

Keywords: affine-jump diffusion processes, differential equations, numerically evaluated characteristic functions, adaptive quadratures, Fourier inversion, direct integration, option pricing.

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On 25th March, 2009 I gave a presentation and I hosted the workshop at the IQPC 2nd Volatility Trading Summit, New York. My topic of the panel and the description of my workshop can be found in the details of this post.

Keywords: volatility trading, modelling financial asset price dynamics, affine jump-diffusion processes, Fourier inversion, modelling the dynamics of commodity curves, pricing volatility and jump derivatives, hedging, risk management.

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On 5th and 6th February, 2009 I presented a poster at the 7th Actuarial and Financial Mathematics Conference, Brussels.

Keywords: syndicated secured loan derivatives, LCDS, loan-only credit default swap, LCDX tranches, pricing, cancellation risk, prepayment risk, default risk, stochastic recovery rate, base correlation, implied cancellation rate, marking-to-market, MtM, hedging, risky annuity.

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Although the conference has been cancelled, on 19th November, 2008 I was supposed to speak and host the workshop at the IQPC 3rd Credit Derivatives Summit, New York. My bulletpoints for the panel and the description of my workshop can be found in the details of this post.

Keywords: credit default swaps, pricing during distress, stochastic recovery, cancellation risk, restructuring risk, stochastic interest rates, CDS-bond basis.

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On 16th July, 2008 I give a talk at the 5th World Congress of the Bachelier Finance Society in London. The slides of the presentation are attached to this post.

Keywords: synthetic CDO and LCDX tranche pricing, LCDS modelling, prepayment risk, one-factor model, Lévy base correlation, skewed copula, historical evolution, delta hedge tranches, tranche delta adjustment, historical tranche delta, alpha-stable copula.