NumeriX's Dariusz Gatarek to Present at the Global Derivatives & Risk Management Conference

Gatarek will discuss the fully lognormal libor market model

London, May 11, 2005 – NumeriX, the leading player in multi-platform, cross-asset derivatives pricing and risk management software, announced today that Dariusz Gatarek will be presenting at the Global Derivatives & Risk Management conference in Paris on Wednesday, May 25.

During his presentation, Gatarek will discuss the fully lognormal libor market model, including the following:

- Where HJM model is better then BGM model and why;
- LIBOR rate lognormal approximations;
- Potential applications;
- Linear pricing and swaptions;
- Swap rate lognormal approximations;
- Numerical example of European swaptions;
- Comparison of pricing methods & potential extensions;
- A brainteaser – is Malliavin calculus the same as integration by parts.

Gatarek is the director of quantitative research at NumeriX specializing in interest rate derivatives pricing. He joined NumeriX from consultancy Deloitte and Touche, where he advised on hedging and risk evaluation. He was also involved in valuing derivatives and designing risk management systems for capital adequacy. Gatarek has published a number of papers on financial models of which perhaps his work with Alan Brace and Marek Musiela on Brace-Gatarek-Musiela (BGM) models of interest rates dynamics is the most well-known.

The Global Derivatives & Risk Management Conference will take place May 23 – 26 in Paris at the Meridien Montparnasse. Dariusz Gatarek’s presentation occurs on Wednesday, May 25 at 12:45 pm. In addition to the presentation, NumeriX will be sponsoring a stream – stream three on May 24 -- entitled, "Applied Derivative Modelling & Analysis."

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