Orateur
Prof.
Wolfgang Runggaldier
(University of Padova, Dipartimento di Matematica)
Description
The context of the talk is the multi-curve modelling of the term structure of interest rates as it arose after the big financial crisis. In particular, we discuss possible extensions of the no-arbitrage drift condition in an HJM framework.
(Based on joint work with Zorana Grbac)
Auteur principal
Prof.
Wolfgang Runggaldier
(University of Padova, Dipartimento di Matematica)
