Conference Day Two: 5 November 2009

8:00 Registration and Coffee

8:45 Co-Chair’s Day 1 Re-Cap

9:00 Volatility 2009 Keynote Address

Dr. Peter Carr is the Head of Quantitative Financial Research at Bloomberg LP, where his group is responsible for all facets of the business operation relating to modeling and analytics. He is also the Director of the Masters in Math Finance program at NYU's Courant Institute. This is Dr. Carr’s first appearance at the Volatility Trading Summit; we’re looking forward to catching-up on his latest volatility research developments and perspectives on the industry.

Peter Carr
Head of Quantitative Financial Research
Bloomberg

9:50 Uncovering The Attractiveness Of Foreign Markets

  • A systematic approach to analyzing foreign exchange markets
  • Cashing in on spot market volatility and what it means for the economy
  • Using mean-reversion to decide when to buy
  • Setting volatility trading goals and limits
  • Emerging market currency: how much emerging market risk should be in my portfolio
  • Features of different smile models: local, stochastic and local-stochastic

Max Golts
Former Senior Research Analyst, Global Fixed Income Group,
Grantham, Mayo, Van Otterloo & Co,LLC

10:40 Networking Refreshments

11:15 Actual And Implied Volatility During Liquidity Shocks: Lessons Learned

  • Appropriately funding volatility
  • Discussing leverage and volatility
  • Exploring spreads and jumps

Aaron Brown
Head of Risk Management
AQR Capital Management

12:00 Networking Luncheon

1:15 Volatility Investing At Pension Funds: The PGGM Case

  • The business case of the Quantitative Strategies department
  • Highlighting some of the major trades of the last year
  • A new model for benchmarking performance

Speaker:

Chris Limbach
Head of Quantitative Strategies
PGGM

2:05 Quantitative Commodity Investing From a Fixed Income Derivatives Perspective

  • Optimizing market expertise into an alpha generating trading strategy
  • Utilizing proficiency in the fixed income markets to formulate a commodity trading approach
  • Demonstrating the similarity of the volatility structure of the yield curve and highly liquid commodity classes

Yong Liu
Sr. Managing Director
Structured Portfolio Management LLC

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