Apr 2013- Mar 2014

Math-Fi seminar on 13 Jun.

2013.06.07 Fri up
  • Date : 13 Jun. (Thu)
  • Place: W.W. 7th-floor, 4th lab. 
  • Time : 16:30 – 18:00
  • Speaker: Edouard Grenier (ENSTA ParisTech)
  • Title: Quadratic Gaussian term structures of interest rates as multi-solitons
  • Abstract: The term structures of interest rates in real world is observed to have some humps if taken between successive maturities. Many arbitrage-free interest rate models fail to capture this property but the affine and the quadratic Gaussian models are among a few exceptions. In the later model, the humps can be seen as “solitons”, solitary waves that behave like particles. The purpose of this presentation is to give an overview of these aspects.

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