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Interest Rate & IBOR

With under a year left before the expected cessation of Libor as a regulated benchmark, this timely summit will examine the expectations for a successful transition and instruments for a post-Libor world. We will be joined by the following experts:


Looking Forward to Backward-Looking Rates: Modelling and Calibrating the Volatility Decay
Looking Forward to Backward-Looking Rates: Modelling and Calibrating the Volatility Decay

With Fabio Mercurio, Global Head of Quantitative Analytics, Bloomberg L.P. 

Inspired by Libor reform: Expected median of a Shifted Brownian Motion
Inspired by Libor reform: Expected median of a Shifted Brownian Motion

with Vladimir Piterbarg, MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets