Head of Risk Analytics for Global Markets
Bank of America Merrill Lynch
The Second Quantization of Banks
• From derivatives pricing to portfolio modelling
• From bilateral to multilateral risks and network effects
• From the risk neutral world to the real world
• From efficient markets to inefficient markets
• Process automation and optimisation
• Quantitative data analysis
Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department.
Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.
Dr. Wolfgang Gerhardt
Speaker of the Management Board
Bank Vontobel Europe AG
Panel: Recent Challenges in Derivatives Technology
Most observers focus on regulatory changes, like MiFID II and PRIIPS, when currently talking on structured products. However, besides regulation another major factor for competitiveness is technology. Pricing, issuance, execution, documentation, and settlement have to be done – at least for standard structures - automatically. This trend has become apparent with the multi issuer platforms, for example mein-zertifikat.de, which enable even private retail investors in Germany to get real-time prices for investment certificates from different issuers, to request the issue of a certain structure without any obligation for a minimum investment and to purchase the new product some minutes later via a bank at a stock exchange.
Wolfgang Gerhardt has played an active role in the development of the markets for structured products in Germany and other European countries since the early 90s. He has been Head Financial Products Germany of Vontobel Group since September 2010 and Speaker of the Management Board of Bank Vontobel Europe AG. In this position he is in charge of the business with investment certificates and leverage products of the Swiss banking group in Germany and the recent expansion into other European countries, among others are Sweden, Italy, and France.
After graduating from Wuerzburg University he had various capital markets responsibilities for CSFB-Effectenbank, Schweizerischer Bankverein (Deutschland), Citibank and Sal. Oppenheim jr. & Cie. From 2008 until 2010 he was a member of the Executive Board at Bank Sal. Oppenheim jr. & Cie. (Schweiz) AG in Zurich responsible for investment banking.
Delft University of Technology
Symposium on Numerical Methods:
On an efficient one and multiple time-step Monte Carlo simulation of the SABR model
In this work, we propose an efficient Monte Carlo simulation for the SABR model. The technique is based on an efficient simulation of SABR’s integrated variance process. The integrated variance process appears in the SABR model simulation since it is part of the conditional cumulative distribution of the SABR forward asset dynamics. We base our approach on the derivation of the cumulative distribution function of the integrated variance and the use of a copulas to approximate the conditional distribution
(integrated variance conditional on the SABR volatility process). For that, a recursive procedure based on Fourier numerical techniques recovers the probability density function given the corresponding characteristic function. Resulting is a fast and accurate simulation algorithm. The one time-step version can be employed to price European options under the SABR dynamics. This converts this approach into an alternative to Hagan analytic formula for short maturities and calibration procedures. On the other hand, the multiple time-step extension of our technique is specially useful for long-term options and for exotic options.
Álvaro Leitao is a PhD student at the Delft Institute of Applied Mathematics (DIAM) in the Delft University of Technology and a PhD researcher at Scientific Computing department in the National Center of Mathematics and Computer Science (CWI), under the supervision of Prof. Cornelis W. Oosterlee. His research is focused on hybrid Monte Carlo-based methods and the application of the GPU computing in the computational finance context. Particularly, he is interested in efficient techniques for the
Before his PhD research period, he worked at Department of Mathematics in University of A Coruna, also on the application of high-performance computing to SABR-like models.
Currently, his research interest moves to the use of Machine Learning within the computational finance framework.
Chief Risk Manager
The future of quant in risk management
Prof. Dr. Uwe Wystup
se nā lī lī lī nā nā lī
lī nā nā nā nā lī lī lī
na lī nā lī le nā lī nā
lī lī lī nā nā nā nā lī
Uwe Wystup is managing director of MathFinance AG. Before, he has actively worked in FX derivatives trading as Financial Engineer, Global Structured Risk Manager and Advisor since 1992, including Citibank, UBS, Sal. Oppenheim and Commerzbank. He is one of the few hybrids in the world working in the intersection of the derivates market and academic research.
Uwe earned his PhD in mathematical finance from Carnegie Mellon University, is currently Professor of Financial Option Price Modeling and Foreign Exchange Derivatives at University of Antwerp and Honorary Professor of Quantitative Finance at Frankfurt School of Finance & Management.
Together with his team at MathFinance he provides independent (re-)structuring, valuation, model validation and expert witness services.
His first book Foreign Exchange Risk was published in 2002, quickly became the market standard and has also been translated into Mandarin. His second book FX and Structured Products appeared in 2006. Many of his papers appeared in scientific journals.