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WEBINAR INVITATION: Effectively Pricing Cliquets and Other Exotics Using the Bates Model

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					WEBINAR INVITATION: Effectively Pricing
Cliquets and Other Exotics Using the Bates Model
April 07, 2010 11:17 AM Eastern Daylight Time  

NEW YORK--(EON: Enhanced Online News)--

Webinar title: The Bates Model - Capturing Jump Events and Realistic Implied Volatility Dynamics

Who: Quantitative developers, traders, financial engineers and risk professionals are invited to participate in this
interactive forum led by Numerix experts to learn about the latest advancements in modeling and the effective usage
of the Bates stochastic volatility jump-diffusion model.

What: If you trade cliquets or other exotics that are heavily dependent on the forward skew, it’s crucial to
understand current quantitative techniques for calibrating to the forward volatility smile. Numerix will present various
modeling approaches and show how the Bates model provides the only way to generate accurate valuations for
certain instruments.

Topics will include:

    l   Extensions of the classic Black-Scholes model, from the Heston stochastic volatility model to the Bates model
        with a jump diffusion process
    l   Calibrating the model to fit short-term skew and realistic forward-skew dynamics, including the use of time-
        dependent parameters
    l   Implementation of the Bates model within Numerix CrossAsset, including enhanced parameters for fitting to
        market volatilities
    l   Using the Bates model for the equity component of hybrid basket trades
    l   Real-world example comparing various models for pricing cliquet options
    l   Creating customized trades, such as adding floors/caps

About the speakers:

    l   Michael Konikov, Ph.D. — VP of Quantitative Research, Numerix
    l   Ping Sun, Ph.D. — Financial Engineer, Numerix

When: April 21, 2010

Time: 9.30 – 10.30 AM ET

Where to register: http://www.numerix.com/events-id/484/Event-Details.aspx

Contact:sgazaleh@numerix.com

About Numerix

Numerix is the award-winning, independent leader in pricing and risk analytics for fixed income, credit, foreign
exchange, hybrids, cross currency, inflation rate and equity derivatives. Numerix has a financial engineering and
quantitative team composed largely of Ph.D.'s on the same scale as the very largest of financial institutions. More
than 350 clients across 25 countries rely on Numerix risk analytic software for speed and accuracy in valuing their
structured products and derivatives. Trading and risk platform vendors leverage Numerix analytics to gain a time-to-
market advantage by embedding the power of Numerix into their systems. Founded in 1996, the company is
privately held with offices in New York, London, Singapore, Tokyo and Hong Kong. For more information visit
www.numerix.com.

Contacts
Numerix
Todd Swearingenm +1 646-898-1294
tswearin@numerix.com

Permalink: http://eon.businesswire.com/news/eon/20100407006267/en/Bates-Model/Cliquets/Numerix

				
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