XVII Workshop on Quantitative Finance -- Session on INTEREST RATES AND FOREIGN EXCHANGE (Sala Azzurra)
speaker: Yves Rakontondratsimba
timetable:
Thu 28 Jan, 11:00 - 13:00, Sala Azzurra
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communication: INTEREST RATES... : Generation of scenarios for the interest rates under the Arbitrage Free Dynamic Nelson-Siegel model
speaker: Stephane Dang-Nguyenspeaker: Yves Rakontondratsimba
abstract: The affine ArbitrageFree Dynamic NelsonSiegel (AFDNS) model introduced by Christensen, Diebold and Rudebusch (2007) provides a new interesting alternative framework for pricing and risk managing, as it both maintains the theoretical arbitragefree restrictions of affine models and provides remarkably empirical properties. Our purpose in this paper is to provide the analysis and formulas required in the generation of scenarios for the interest rates at future timehorizons, under this mentioned AFDNS model.
timetable:
Thu 28 Jan, 11:00 - 13:00, Sala Azzurra
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