As I give talks, lectures, and seminars to all types of audiences around the world, I’m often asked to share they slides I use. Follow the link to download the presentation you are interested in and, please, share your remarks in the comment section.

List of related posts:

Risk measure, XVA Analysis, Cost of Capital and Central Counterparties Workshop

In this workshop a number of topics were discussed. In primis several valuation adjustments (denoted by the generic name XVA) such as CVA, FVA, and KVA. The level of all the seminars was very high and you needed some previous knowledge of the subject in order to fully appreciate them. I want to highlight three […]

Introduction to linear commodity derivatives

Abstract We provide an introduction to linear derivatives on common storable commodities. Using no-arbitrage arguments we derive an expression for the quote of commodity future contracts and we highlight the importance of convenience yield. We show a some numerical results for the convenience-yield term structure of few common commodities and focus on the similarities with […]

Second NUS—Stanford Workshop in Quantitative Finance: Statistical Issues

Title: Numerical Computation of VIX-Futures Risk Components Abstract: We describe a method to perform risk simulations of VIX futures, according to the historical-simulation model. We assume a stochastic-volatility mean-reverting constant-elasticity-of-variance process to model the VIX dynamics. Following non-arbitrage arguments the market expectation of VIX futures price results in a function of three financial variables: the […]

StatPro Cloud Summit 2012

The StatPro Cloud Summit took place on September 13th, 2012, 29 floors up in the clouds at the top of Millbank Tower, London. It was the first summit for revolution where portfolio managers, fund administrators, analysts, sales directors, and marketing professionals from the global investment market shared some insightful presentations and there was a lively debate. In […]

Guest lecture at The Master of Quantitative Finance

On March 7th, 2012, I gave a guest lecture at the University of Bologna for the students of the master in Quantitative Finance. The topic chosen for the lecture was the importance of the convenience-yield risk variable in the computation of risk for long-dated commodity derivatives. You can download the slides of my presentation in […]

The First QuantLib Forum

On January, 18th, 2011, a number of QuantLib “fans” gathered at the Marriot Hotel in Canary Wharf, London, UK, to celebrate the first QuantLib forum. The forum was sposored by StatPro and you can find the official brochure in the attachments below. I personally believe the event was a great success and we had great […]