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UnRisk: Finance@Court
Andreas Binder

Municipalities would do well to analyze payoffs and the risk of swaps before taking a leap with taxpayers' money...

Low Strike Extrapolation for SABR - d-fine
Sebastian Schlenkrich, André Miemiec, Tilman Wolff-Siemssen, d-fine GmbH, Frankfurt, Germany

In this paper we analyse the modelling of rate options in a low interest rate market environment. In particular, the pricing of low, zero and negative strike vanilla options is considered. We review the modelling approaches available in the literature. For the important special case of the widely used SABR formula we illustrate the shortcomings connected with the low strike wing of the smile.

Moreover, a simple approach of low strike extrapolation will be presented. It is based on gluing the density function implied by the standard SABR formula to a suitable density function at low strikes in an arbitrage free manner. This approach yields a robust and transparent method to price low, zero and negative strike vanilla options.

A Generalised Procedure for Locating the Optimal Capital Structure
Ruben D. Cohen 1520 Views

We present here a generalisation of an earlier approach for determining and locating the optimal capital structure of a corporate firm. The approach is the "maximumvalue" methodology and the generalisation extends the original problem to one where the firm loses flexibility because of constraints and, therefore, has to move along a specific value-vs-leverage path to get to the optimal capital structure.

RiskMinds International 2014 - 8-12 December 2014 - Amsterdam - 10% Wilmott DISCOUNT
RiskMinds International 2014

8-12 December 2014

Okura Hotel, Amsterdam

http://www.riskmindsinternational.com/FKN2386WMW

10% DISCOUNT - VIP CODE: FKN2386WMW

Now in its 21st year, RiskMinds International is the world's largest risk management conference and is fully established as the most senior gathering of the global risk management community. 600+ CROs, global Supervisors, renowned Academics and expert industry Practitioners will gather together this December to discuss strategic risk management, capital allocation and practical risk modelling. Here's a peak at what's on the agenda this year:

DRIVERS OF REFORM

Jonathan Faull, Director General, Internal Markets & Services of THE EUROPEAN COMMISSION will be explain how The Commission is establishing a safe and growth enhancing financial Sector for Europe. He will be joined by Lord Adair Turner, Former Chairman of the FSA and Sir John Vickers, OXFORD UNIVERSITY & the author of the Vickers Report to determine the future for banking reform.


SENIOR CROs

Raj Singh, Group CRO, STANDARD LIFE will be strategizing with 25+ CROs from institutions including CITI, ING, SG, CIBC, ERSTE GROUP, NOMURA HOLDINGS & WELLS FARGO on the role of the board, emerging risks, global banking & risk culture.


GLOBAL SUPERVISORS

Andrew Gracie, Executive Director, Resolution, BANK OF ENGLAND, alongside Governor Liikanen of the BANK OF FINLAND, Thomas Hoenig of the FDIC & Neil Esho of THE BASEL COMMITTEE ON BANKING SUPERVISION will offer an outline for coming reform.


RESPECTED ECONOMISTS

Willem Buiter the Global Chief Economist at CITI will talk QE, Recovery, Inflation and Growth. Willem has been an advisor to GOLDMAN SACHS, the Chief Economist for the EBRD and an advisor to The IMF & The World Bank - we are in safe hands!


RENOWNED ACADEMICS

Didier Sornette, Professor, ETH ZURICH shares his latest research on economic & financial bubbles while Emanuel Derman of COLUMBIA UNIVERSITY and Jon Danielsson of LSE embark on discussions on systemic & model risk.


THE BOARD

Anthony Santomero, Board Member at CITIGROUP will be joining a CRO Discussion on Risk and The Board alongside CROs who sit on the board: Wilfred Nagel of ING & Andreas Gottschling of ERSTE GROUP.


PHILOSOPHERS OF FINANCE

Nassim Taleb, NYU will be hosting a special one day workshop on Risk Management In The Real World & Professors Stefan Thurner, MEDICAL UNIVERITY OF VIENNA & Luciano Petronero, UNIVERSITY OF ROME will present on Systemic Risk & Measuring Intangibles.

Visit the website for more information: http://www.riskmindsinternational.com/FKN2386WMW

Don't miss details of the Global Risk Regulation Summit on December 8th, and our Practical Risk Workshops on December 12th, covering Credit Risk, Risk-Adjusted Performance, Operational Risk and Risk Management In The Real World.

You can get a 10% discount with Wilmott - quote the VIP code FKN2386WMW to claim.

For more information or to register please contact the RiskMinds team on +44 (0) 20 7017 7200, email info@icbi.co.uk or visit the website: http://www.riskmindsinternational.com/FKN2386WMW
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