Advances in Interest Rate Modeling and the Pricing of Their Derivatives
Speaker(s): Wolfgang J. Runggaldier (University of Padova)
Time: March 24 - April 16, 2020
Venue: Room 29, Quan Zhai, BICMR
Time：March 24,31 April 7,14 13:00-14:50
March 26 April 2,9,16 8:00-9:50
This part of the course is intended to complement the previous part by discussing some more recent modeling developments for interest rates and by treating in more detail the pricing of their derivatives. Specific mathematical techniques are also developed in more detail.
PART I. Modeling and specific mathematical techniques- Setting the stage: recalling some basic issues from the previous part (relating to short rate modeling)
- Heath-Jarrow-Morton framework
- Market models (for Libors and related rates)
- Derivation and first applications of the change of numeraire technique.
PART II. Recent modeling approaches and pricing of interest rate derivatives in a corresponding setting.
- The "big crisis" and their consequences- Multicurves
- Pricing of linear derivatives; OIS bonds
- Pricing of optional derivatives
- "Life after Libor" (Libor fallbacks).
LITERATURE: Standard references on interest rate theory. More specifically for part II:
Z.Grbac and W.J.Runggaldier, Interest rate modeling:post crisis challenges and approaches.Springer Briefs in Quantitative Finance, Springer 2015.
