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Implementing Derivative Valuation Models

The focus of the conference was on issues involved in the implementation of derivatives models in an institutional setting. Many banks and other organisations have large code libraries for valuating and hedging derivative securities under various modelling assumption. Computational efficiency, library management, and code maintenance become very significant but competing objectives.

The conference examined these issues and other, both at a general level, and in the context of specific valuation models.

The following speakers presented at the conference and you can view their paper/presentations by clicking the links:

Andrew Ferraris, Deutsche Bank
Dmitry Kramkov, Carnegie Mellon
Allan Lane, BGI
Claudio Moni, Bank of America
David Shorthouse, Credit Suisse
Arun Verma, Bloomberg
Nick Webber, Warwick

Themes included computational efficiency, library architecture, the use of web services, and implementation issues for specific derivative valuation models.