Webinar

OTC Derivatives Valuation and Data Offering in Volatile Markets

On Demand
Duration: 35 Minutes
Original Date: June 08, 2022

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

In this webinar we will introduce our Bloomberg service for OTC derivatives valuations and volatility data offering, with a focus on Interest Rates and Scandinavian currencies. We will start by reviewing the current market conditions characterized by a rise in volatility and rates tightening cycle and the impact on the valuation of non-linear derivatives. Next, we will introduce our approach to volatility surface creation and modelling (for both LIBOR and RFR based derivatives), followed by a review of recent technology-driven innovations on the data delivery side. We will conclude with BBG terminal examples of volatility surface creation and monitoring. 

Speakers

Jeremy Wilson

Fixed Income Market Specialist

Bloomberg L.P.

Jeremy is a Fixed Income market specialist, with a particular focus on rates derivatives and helping our clients to navigate regulatory change, including the LIBOR transition. 12 years market-making interest rate swaps at Credit Suisse, Royal Bank of Canada and BNP Paribas, including time in Sydney, Hong Kong and London and covering various currencies including EUR, USD, AUD, JPY, NZD and HKD. Latterly, 4 years providing consultancy, thought leadership and engagement delivery to financial services clients, specialising in Front Office topics and a wide range of emerging risks, including LIBOR transition.

Stefano Galluccio

Head of Financial Engineering EMEA

Bloomberg L.P.

Stefano Galluccio is the Head of Financial Engineering in EMEA. He spent more than 20 years in London as a quant and, later, as a trader in Fixed Income derivatives, with exposure to both buy and sell-side. Prior to joining Bloomberg, Stefano has been in charge of the interest rates and hybrid derivatives trading in EMEA at BNP Paribas, and head of Fixed Income trading at BNP Paribas – Fortis.

Edoardo Barra

Senior Financial Engineer

Bloomberg L.P.

Edoardo Barra is the Senior Financial Engineer at Bloomberg London. He has been with Bloomberg for 10 years working on the financial engineering services team.

silvano stagno

bloomberg

Access a broad range of analysis, research, insight and actionable ideas with Bloomberg webinars.