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Pricing and hedging issues in structured products and hybrids
09:00 Registration and refreshments
09:30 Structured products in equity and credit markets
- Cliquet options in principal-protected instruments
- Extension to swing and reverse cliquets
- Equity default swaps
- Incorporating the volatility surface in structured securities: stochastic volatility versus local volatility versus Levy processes
11:00 Structured instruments around hedge funds
- Some fundamentals on hedge funds returns
- Dependence structure with equity markets and copulas
- The high water mark rule for incentive fees
- Pricing options on the hedge fund net asset value using local times
13:00 Lunch
14:30 Structured products in commodity markets
- The "primitive" instruments: crackspread, darkspread and sparkspread options
- Cross-correlations between natural gas, oil, coal and electricity markets
- Inverse leverage effect and volatility smile in energy commodities
- Pricing options on commodity spot prices: is mean-reversion dead?
- Commodity quanto options
- Rainbow structured note involving interest rates, equity and oil prices
16:00 End of workshop |
About your workshop leader
 Hélyette Geman is a Professor of Finance at Birkbeck, University of London and ESSEC Business School.
She is a graduate of Ecole Normale Superieure in mathematics, holds a Masters degree in theoretical physics and a PhD in mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, covering the spectrum of oil, natural gas and electricity as well as agricultural commodities origination and trading. She was previously the head of Research and Development at Caisse des Depots.
She has published more than 80 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business.
She has also written a book entitled Insurance and Weather Derivatives and is a Member of Honor of the French Society of Actuaries. Professor Geman's research includes asset price modelling using jump-diffusions and Lévy processes, commodity forward curve modeling and exotic option pricing for which she won the first prize of the Merrill Lynch Awards. She was named in 2004 in the Hall of Fame of Energy Risk. Her latest book Commodities and Commodity Derivatives was published by Wiley Finance in January 2005. |
