Orateur
Jörgen Blomvall
(Linköping university)
Description
Interest rates on financial markets are noisy. This is reduced by a Kalman filter, which gives better measurement of interest rate cuts and hikes. With an optimization model interest rate curves are measured with increased accuracy from Overnight Index Swaps. Principal Component Analysis identifies the significant risk factors in interest rate markets. With these a Stochastic Programming model is formulated to determine the optimal hedge of the Overnight Index Swap book, where significant improvements are found relative to traditional delta hedging.
Author
Jörgen Blomvall
(Linköping university)
