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Financial Engineering Workshop - Jessica James (Commerzbank)

by Faculty Events

Workshop

Wed, 14 Nov 2018

6:10 PM – 7:15 PM

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Registration: 17:40 - 18:10

Cass Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

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Jessica James, Managing Director at Commerzbank, will be giving a seminar titled "Cross-Currency Basis - What Drives it?" on Wednesday 14th November from 18:10 - 19:15 (light refreshments available from 17:40).

ABSTRACT:
If I told you that the largest market in the world seemed to display substantial arbitrage opportunities, what would you say? But this is exactly the case with Foreign Exchange.The cross currency basis appears to violate the basics of the simplest pricing mechanics. To discover why this is and why (sadly) there is no free money available, we went into detail about the drivers and underlying mathematics of the cross currency basis, and show that crises and regulations can have unexpected consequences.



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Where

Cass Business School, 106 Bunhill Row
Room 2005

106 Bunhill Row, London EC1Y 8TZ, UK

Speakers

Jessica James

Commerzbank

Jessica James is a Senior Quantitative Researcher at Commerzbank in London, previously Head of the Quantitative Solutions Group. She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay Team for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford. She holds a BSc in Physics from Manchester University and a D. Phil. in atomic and nuclear phyics from Oxford University. Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her latest book ‘FX Option Performance’ came out in 2015. She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products. Jessica is on the Board of the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. She is a Managing Editor for the Journal of Quantitative Finance. Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.

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