1-4 September 2015
Angers - France
Europe/Paris timezone

No arbitrage conditions in the multi-curve modelling of the term structure of interest rates

1 Sep 2015, 09:50
40m
Angers - France

Angers - France

Speaker

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)

Primary author

Prof. Wolfgang Runggaldier (University of Padova, Dipartimento di Matematica)

Presentation Materials