Il giorno Martedì 18 Novembre 2014, alle ore 14:30
presso la sede di Prometeia (sala grande, primo piano)
via G.Marconi 43, Bologna

Alessandro Gnoatto
(Ludwig-Maximilians Universität München)

terrà un seminario dal titolo

"Interest rate modelling after the financial crisis"

Abstract
In the first part of the talk we proceed to review the main changes in
the interbank interest rate market after the financial crisis. We
present the most relevant empirical evidences: divergence between
different interbank rates, failure of the standard FRA replication
argument, emergence of basis swap spreads. Secondly, we quickly review
the valuation of contingent claims under collateralization, which
constitutes the market practice for interest rate products in the
post-crisis world and forms the basis for multiple curve valuation.

In the second part of the talk we propose a general framework for
modelling multiple yield curves. In a general semimartingale setting, we
provide an HJM approach to model the term structure of multiplicative
spreads between FRA rates and simply compounded OIS risk-free forward
rates. We derive an HJM drift and consistency condition ensuring absence
of arbitrage and, in addition, we show how to construct models such that
multiplicative 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 and tractable Markovian structure.

Finally, we show that the proposed framework allows to unify and extend
several recent approaches to multiple yield curve modelling.

The talk is based on joint works with C. Cuchiero, and C. Fontana.