3 Ottobre, 2017 14:00 oclock

Sezione di Finanza Quantitativa

On multi-curve models for the term structure of interest rates

Wolfgang J. Runggaldier, Università degli Studi di Padova

Seminar Room (6th Floor)

We discuss multi-curve extensions of classical short rate models, whereby the multi-curve quantities are obtained by adding a spread over the corresponding one-curve quantities. In particular, we consider factor-driven models for the short rate and the spreads, where the factors are of the exponentially quadratic class. For these models we furthermore discuss pricing of linear and optional derivatives (based on joint work with Zorana Grbac and Laura Meneghello).