Pricing Partners’ Latest Research Work at the World Business Strategies (WBS) Workshop in London

Pricing Partners, the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today that they will present their latest work at the World Business Strategies (WBS) workshop on interest rates exotic products, taking place on November 23th and 24th 2009 in London.

The two day event will tackle topics such as “The LMM-SABR Model: The New Paradigm for Pricing, Calibrating, Hedging Interest-Rate Derivatives Modelling in the Presence of Smiles” and “Interest Rate Modelling & Interest Rate Exotic Products”. Eric Benhamou, CEO of Pricing Partners and former quant of Goldman Sachs will demonstrate the latest research on the impact of stochastic interest rates in local volatility jump diffusion models. In the midst of financial crisis, as volatility reached unprecedented level, this work is particularly relevant to quantify market risk. This work of Dr Eric Benhamou is a summary of two recent researches, one done in collaboration with A. Gruz, and A. Rivoira of Misys and the other one done with Dr M. Miri of Pricing Partners and Pr E. Gobet of ENSIMAG.

WBS events play a vital role in the financial markets, especially in the quantitative community, which is often called as the "quants" world. The 2009 edition conference gathers highly reputable market professionals such as Riccardo Rebonato (Global Head of Market Risk and Quantitative Research at Royal Bank of Scotland), Pat Hagan (Head of Quantitative Analytics at JP Morgan, famous for his stochastic volatility SABR model) and Sandine Ungari (Quantitative Strategy at Societe Generale). For Pricing Partners, it is a great opportunity to present quantitative research and expertise at the forefront of the community.

Eric Benhamou said: "At Pricing Partners, we are very keen to exchanging our latest results with the quantitative community to diffuse deep ideas and continue increasing our reputation as the quantitative company in the market. In addition, it is a good place to reach potential clients that are looking for external experts on their valuation issues."

"We will be glad to see Pricing Partners this year again at our WBS event. The event is intended to be a forum of research for the most promising work, and we are happy to learn the latest advances from Pricing Partners.” says Neil Fowler, Managing Director of World Business Strategies.