We’ll introduce a common model framework for valuing and measuring risk for
options on pools of mortgages. In some market conditions this model does
not accurately match option market prices. Different ways of dealing with
this issue lead to different risk measurements. We’ll consider a “model
free” way of looking at risk through a local vol calculation, and use this
for comparison. As background we’ll introduce agency Mortgage Backed
Securities and some of their associated risk management issues.

Bio:

Without either car or money Michael Landrigan was compelled to bike all
the way from his home town in New Hampshire to study math at Irvine.

At UCI he got a solid training in logic, then in algebraic geometry,
before finally getting his PHD in mathematical physics, in 2001, that
earned a department's Kovalevsky outstanding PhD thesis award. In the
postdoctoral period his interests switched to financial math. Now he is
the head of risk and quantitative opportunities for Catalina Asset
Management, the investment arm for the non-life insurance consolidator
Catalina Holdings. Before Catalina Michael was a Director in Quantitative
Risk Control at UBS Investment Bank. He has also had positions in the
financial industry at MSCI, PIMCO and Rimrock Capital Management, and he
has had faculty positions at Idaho State University and UC Santa Barbara.
Prior to the UCI PhD he got a BA in mathematics at the University of
Chicago.