Hybrid and Commodity Derivatives
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Date: 10-23-2006
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Yaan Coatanlem, Citigroup
Location: 412 Schapiro CEPSR, Davis Auditorium
Abstract
We are presenting a business perspective on key multi-asset products and models. Starting with a description of complex payoffs, we will analyze risk and hedging issues, discuss pricing models, focusing on correlation and skew/smile issues, and propose a few robust calibration and hedging methods.
Bio
Yann Coatanlem is a Managing Director at Citigroup Global Capital Markets and head of the Multi-Asset quantitative Analysis Group. He joined the Arbitrage Desk of Salomon Brothers in 1994. His current responsibilities include derivatives research and development for the Hybrid and Commodity Derivatives desks. His group also supports Value-At-Risk modeling for Hedge Fund Cross Product Margining and various Fixed Income trading desks. He graduated in Mathematics and Finance from both Ecole Nationale Supérieure d’Informatique et de Mathématiques Appliquées de Grenoble (ENSIMAG), and Hautes Etudes Commerciales (HEC) in Paris.