Siamo lieti di annunciare il seguente seminario:
Claudio FONTANA, "A general HJM framework for multiple curve modeling" (joint work with Christa Cuchiero and Alessandro Gnoatto)
al Dipartimento di Matematica (via Trieste 63, Padova), aula 2AB/40 (secondo piano), venerdi' 29 maggio ore 12.
Abstract --------
We propose a general HJM approach to the modeling of multiple yield curves. In a general semimartingale setting, we model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive HJM drift and consistency conditions ensuring absence of arbitrage and we show how to construct models such that spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible Markovian structure which allows for simple valuation formulas for most interest rate derivatives.