• 22 March, 17:00-18:00 Clore Lecture Theatre (Huxley 213): Patrick McGuire (LMR Partners) on Practical Volatility and Credit Trading

       Abstract: Discussion of several topics relating to the practical challenges in the research and implementation of trading strategies in the volatility and credit asset classes.

• 21 March, 16:30-17:30 Huxley 139: Claude Martini (Zeliade Systems Paris) on Robust Calibration and No Arbitrage Interpolation of eSSVI Slices

      Abstract: We describe a robust calibration algorithm of a set of SSVI slices (i.e., a set of 3 SSVI parameters θ,ρ,φ attached to each option maturity available on the market), which grants that these slices are free of But- terfly and Calendar-Spread arbitrage. Given such a set of consistent SSVI parameters, we show that the most natural interpolation/extrapolation of the parameters povides a full continuous volatility surface free of arbitrage. The numerical implementation is straightforward, robust and quick, yielding an effective, parsimonious benchmark solution to the smile problem.

• 13 March, 17:00-18:00 Weeks Hall Lecture Theatre: Gordon Lee (UBS) on The Importance of Being (Earnestly) Collateralised

      Abstract: This talk gives an introduction to the increasing important that collateral agreements plays in various XVA and Credit Risk Exposure computation in finance. We will go through the interplay between collateral agreements and pricing, also looking at the future problems that need to take these issues into account.

• 13 February, 17:00-18:00 Weeks Hall Lecture Theatre:  Leonardo Marroni and Irene Perdomo (Devet Capital) on February 5th: Black Monday for VIX, and VIX products 

      Abstract: In this lecture we will look at what happened on 5th Feb to VIX markets and VIX Exchange Traded Products. We will consider how the VIX futures can be used to build tradable VIX Indexes, such as the S&P 500 VIX Short-Term Futures Index. We will then analyse the most common VIX ETNs. For example, for the short ones, we will consider the necessary adjustments that have to be made in order to make them replicable, like daily rebalancing, termination thresholds and the risks that they may trigger. We will then review the events of 5th Feb that culminated in the withdrawal of some of the short VIX ETNs, after they experienced sudden losses in excess of 90% of the investments. We will consider where it all went wrong and the key points which need to have been learnt from the extreme events of last week.

• 14 December, 17:00-18:00 Huxley LT 144: Ben Wood (JP Morgan Chase) on Deep Statistical Hedging

• 7 December, 17:30-18:30, Huxley LT 139: Eric Schaanning (Norges Bank and ETH Zurich) on Next generation stress testing

      Abstract: We give an overview of the current regulatory stress tests that are conducted to assess financial stability. A key assumption in the current framework is that of “static balance sheets”, i.e. banks do not react to the stress scenario, but keep their portfolios unchanged during the stressed episode. Intense research efforts are trying to (i) introduce dynamic balance sheets for banks, (ii) include feedback effects between the financial sector and the real economy, (iii) model solvency – liquidity feedbacks, (iv) develop system-wide stress testing that includes other sectors beyond banks (asset managers, insurance companies, …) in order to develop “next generation stress tests”.

• 2 November, 17:30-18:30, Huxley LT 139: Joaquin Narro (Alcazar Investment Management Ltd / Bainbridge Partners LLP) on Commodity markets and commodity indexes: a practitioners’ introduction

      Abstract: In the first part of this lecture we will start introducing the most common commodity markets (energy, soft & grains, metals) and the concept of term structure of forward commodity prices as well as the typical commodity markets participants. We will then introduce the key concepts of contango and backwardation and their most common drivers, including examples of what may happen in certain extreme cases (such as strong demand/supply disruption or spikes) and the comparison with non-commodity assets. In particular we will discuss that:

i. for low supply / supply disruptions / demand spikes, it may be impossible to arbitrage a curve even when it is in extreme backwardation;

ii. for low demand / demand disruptions / excessive supply, traditional “cash and carry” arbitrage strategies may be implemented but they require access to the physical market and they may still fail if / when storage facilities become unavailable.

We will conclude the first part giving plenty of examples of the most common shapes a commodity curve may take depending on the nature of the commodity itself (for instance curves showing a strong seasonality, such as refined products or natural gas) as well as examples of commodity curve behaviour in extreme market conditions.

In the second part of the lecture, we will introduce the simplest examples of commodity indexes (such as trackers for individual commodities) and the reasons for their strong popularity among different types of investors; after comparing them with the most traditional equity indexes we will focus on the way they are constructed and we will make a clear distinction between the so called “spot” and “excess return” indexes; we will show that, due to the different rolling mechanism of the underlying futures contracts, “spot indexes” are not self-financing strategies and therefore they’re not suitable to be used as benchmarks for commodity investment products (such as ETFs), whereas “excess return” indexes are.

We will conclude showing that, by construction, “excess return” commodity indexes enjoy a flat forward term structure which makes them particularly tractable from and analytical point of view as well as easy to replicate in practice.

• 5 October, 16:30-18:00, Huxley LT 340: Tiziano Bellini on Stress testing and risk integration in banks

Contents:

-The Need for Electricity: understanding how 45% of the world’s energy supply is processed through electricity plants

-The Cost-Price Conundrum: exploring the complexities of estimating the cost of production

-A Balancing Act: learning how supply and demand of electricity should be matched at all times

-The Power Market: analysing the building blocks of the wholesale market

-Pricing Futures: researching the uncertainties of pricing electricity futures