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.