SFMW Events

Recursive Marginal Quantization of Higher Order Schemes

Date: 
Tue, 06/09/2016 - 5:30pm
Speaker: 

Thomas A. McWalter, University of Cape Town and University of Johannesburg

Location: 

Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000

ABSTRACT

Analysis and Development of the SABR Framework

Date: 
Wed, 02/03/2016 - 5:30pm
Speaker: 

Marek Musiela, Deputy Director, Oxford-Man Institute of Quantitative Finance, University of Oxford

Location: 

Commonwealth Bank, Level 19, Darling Park Tower 1, 201 Sussex Street, Sydney NSW 2000

ABSTRACT

Mathematical models are developed to capture market behaviour at a point in time and are used to gain competitive advantage over time. In the option business, for example, they are calibrated to liquid information and used to price and trade more exotic and hence less liquid products. However market liquidity changes over time, it can increase or evaporate depending on the economic conditions. This is one of the factors that drive evolution of models which need to be adapted to the changing market conditions.

Bitcoin, Banking and the Blockchain

Date: 
Wed, 11/03/2015 - 5:30pm
Speaker: 

Sean Carmody, Head of Credit Risk, Westpac

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

ABSTRACT

Robust measurement of (heavy-tailed) risks: Theory and implementation

Date: 
Wed, 10/09/2014 - 5:30pm
Speaker: 

Judith Schneider, Westfälische Wilhelms-Universität Münster, Germany

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

ABSTRACT

Towards FVA Pricing: A Martingale Approach

Date: 
Wed, 23/07/2014 - 5:30pm
Speaker: 

Tal Morgenstern, Senior Manager, Actuarial Services, Ernst & Young

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

ABSTRACT

We have recently observed the traditional derivative pricing framework being extended to include several adjustments. These adjustments involving for instance the recognition of counterparty credit risk or funding costs were intended to fix the assumptions of the prevailing models that failed to hold in the last global financial crisis.

Abandoning the Law of One Price: Economic Foundations and Mathematical Structure of Two Price Economies

Date: 
Tue, 01/07/2014 - 5:30pm
Speaker: 

Dilip Madan, Robert H. Smith School of Business, University of Maryland

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

ABSTRACT

Bitcoin Basics and How it Works - POSTPONED, new date TBA

Date: 
Tue, 17/06/2014 - 5:30pm
Speaker: 

Balakrishnan Kannan

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

ABSTRACT

This is an introductory presentation on bitcoins and how they work. Although there are a lot of research materials and related software programs freely available in the public domain, one needs to have a minimum level of IT and mathematical knowledge to understand the intricacies behind bitcoin protocols and its applications.

A Consistent Framework for Modelling Spreads in Tenor Basis Swaps

Date: 
Wed, 14/05/2014 - 5:30pm
Speaker: 

Yang Chang, ‎Research Fellow at the ARC Centre of Excellence in Population Ageing Research (CEPAR), UNSW

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

ABSTRACT

The Basel Committee's "Fundamental Review of the Trading Book"

Date: 
Tue, 15/04/2014 - 5:30pm
Speaker: 

Tim Dun, Head of Risk Model Strategy and Analysis, Westpac, and Volf Frishling, Head of Market Risk Quantitative Support, National Australia Bank

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

Presented by:
Tim Dun, Head of Risk Model Strategy and Analysis, Westpac, and
Volf Frishling, Head of Market Risk Quantitative Support, National Australia Bank

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Time: 5:30pm

Date: Tuesday 15 April 2014
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT

Generic and object-oriented programming techniques for Monte Carlo simulation in C++

Date: 
Tue, 03/12/2013 - 5:30pm
Speaker: 

Erik Schlögl, Director, Quantitative Finance Research Centre, UTS Business School

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

Presented by: Erik Schlögl, Director, Quantitative Finance Research Centre, UTS Business School

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Time: 5:30pm

Date: Tuesday 3 December 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT

Practicalities of operational risk capital modelling

Date: 
Tue, 10/09/2013 - 5:30pm
Speaker: 

John Jarratt, Head of Operational Risk Quantitative Analysis | National Australia Bank Limited

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

Presented by: John Jarratt, Head of Operational Risk Quantitative Analysis | National Australia Bank Limited

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Time: 5:30pm

Date: Tuesday 10 September 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT

Physical-Measure Future Value Distributions

Date: 
Wed, 07/08/2013 - 5:30pm
Speaker: 

Andy McClelland, Numerix LLC

Location: 

Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney

Presented by: Andy McClelland, Numerix LLC

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Time: 5:30pm
Date: Wednesday 7 August 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT