---------- Forwarded message ----------
Date: Fri, 2 Jan 2015 10:17:57 -0300
From: Zorana Grbac <zorana.grbac(a)googlemail.com>
To: Tiziano Vargiolu <vargiolu(a)math.unipd.it>
Subject: Conference at TUM (March 30 -- April 01,
2015): Challenges in Derivatives Markets: Fixed income modeling,
valuation adjustments, risk management, and regulation
Conference at TUM (March 30 -- April 01, 2015): Challenges in Derivatives
Markets: Fixed income modeling, valuation adjustments, risk management, and
regulation
================================
Dear colleagues,
it is our pleasure to announce the conference ?Challenges in Derivatives
Markets: Fixed income modeling, valuation adjustments, risk management, and
regulation?, for which we would like to invite you as contributed speaker or
visitor. The conference will take place at Technische Universit?t M?nchen, March
30 ? April 01, 2015. Thanks to our generous sponsor KPMG, the registration fee
for the 3-day event is only 155 Euro.
We are especially proud having
? Damiano Brigo,
? St?phane Cr?pey,
? Ernst Eberlein,
? John Hull,
? Wolfgang Runggaldier,
? Luis Seco,
? Thorsten Schmidt, and
? Wim Schoutens
among the confirmed speakers. So we are looking forward to an extraordinary
scientific event to which we hope you will contribute with your
presentation/attendance.
The aim of the conference is to provide a venue for practitioners and
academics working with derivatives to present state-of-the-art research,
exchange ideas, and share visions on future developments in the field. The
first focal point of the conference will be on recent developments in
interest-rate modeling and derivatives pricing. Various types of multi-curve
term structure models and especially post-crisis extensions of the Libor
market model will be discussed. The second focus will be put on counterparty
and liquidity risk in a global derivatives market. Derivative valuation and
risk management in the presence of collateral and liquidity issues will be
the central topics with special regard to valuation adjustments such as CVA
(credit valuation adjustment), DVA (debt valuation adjustment), FVA (funding
valuation adjustment), and other XVAs as well as their interplay. Emphasis
will be put on modeling and pricing, as well as risk management and
regulatory aspects. More information is given on the website
http://www.mathfinance.ma.tum.de/kpmgce/conference-challenges-in-derivative…
To facilitate the organization of the event, your registration by January
20, 2015 is highly appreciated. If you are interested in providing a
contributed talk (these will most likely take place on Wednesday, April 01,
2015), please provide us an abstract/paper of your presentation.
Best regards from the scientific committee,
Kathrin Glau, Zorana Grbac, Matthias Scherer, and Rudi Zagst