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SUMMARY:The true cost of OTC derivatives - Dempster\, M (University of Cam
 bridge)
DTSTART:20140917T130000Z
DTEND:20140917T140000Z
UID:TALK54333@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:The true cost of OTC derivativesSince the breakdown in the ear
 ly 70's of the postwar Bretton Woods fixed exchange rates and the achievem
 ents of Black\, Scholes and Merton in obtaining a satisfactory theory of o
 ption pricing almost simultaneously\, banking globally has undergone sweep
 ing transformations at an ever increasing pace. After briefly surveying fi
 nancial market developments from 1980 to the present\, the role of structu
 red over-the-counter derivatives in this advance will be examined in some 
 detail. Previous extensive technical consultancy to leading banks on struc
 tured derivative products has been followed since the crisis by expert wit
 ness work for clients -- individual\, commercial and governmental -- who h
 ave purchased these OTC products to their cost. This recent and ongoing ex
 perience has been an eye opener which I shall detail with numerous real ex
 amples. The presentation will go on to discuss our pricing methodology for
  these examples and close with some comments on the evolving global regula
 tion of structured OTC derivatives.\n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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