Forthcoming Webinars
Last updated 19th August 2009 - Barrie & Hibbert will be hosting a series of webinars over the coming weeks.
Subject: Real-world equity modeling in the iESG
Presenters: Steffen Sorensen, Head of Financial Economic Applications, Barrie &Hibbert & Frederic El Cherif, Analyst, Barrie & Hibbert
Dates: Tuesday 25 August 4-5pm (BST) and Wednesday 26 August 9-10am (BST)
To check the time in different countries, please click here:
http://www.timeanddate.com/worldclock/
Objectives
• To understand the various offerings of Barrie & Hibbert real-world equity modelling:
- The equity target setting methodology
- The log normal equity model: advantages and disadvantages
- Old Stochastic Volatility model vs. the SVJD model
- Calibration of the SVJD model
- One year equity calibration
Who should attend?
• iESG users
Agenda
• Target setting
- Unconditional equity volatility
- Unconditional international equity correlations
- Unconditional equity risk premia
- Conditional equity volatility term-structure
- Percentiles
• Choice of equity model
- Constant volatility vs. stochastic volatility models
- Calibration
Subject: The Stochastic Volatility Jump Diffusion model for equities
Presenters: Steven Morrison, Head of Model Research & Graeme Lawson, Consultant, Barrie & Hibbert
Dates: Wednesday 2 September 4-5pm (BST) and Thursday 3 September 9-10am (BST)
To check the time in different countries, please click here:
http://www.timeanddate.com/worldclock/
Objectives
- To gain an understanding of the technical underpinnings of the SVJD model
- Gain exposure the specifics of the Barrie and Hibbert implementation
- To understand the calibration of the model in a Risk Neutral context.
Who should attend
- iESG users
Agenda
The Model
- Heston’s stochastic volatility model
- Merton’s jump diffusion model
- Putting them together
Model Implementation
- Option pricing
- Discretisation and the Brownian Bridge
Market consistent Calibration
If you would like to attend any of the above webinars, please reply to marketing@barrhibb.com stating which sessions (and dates) you would like to join.
