Interest rate & LIBOR agenda
We've got a whole stream of content focused on interest rate modelling and trading alongside the LIBOR transition on Wednesday 13 May. Key topics under discussion include:
- Looking forward to backward-looking rates: completing the generalized forward market model
- Quantitative impacts of LIBOR fallback
- Efficient pricing of rates and hybrid derivatives post-Libor
- Dawn to fusk of Libor: fallbacks, value transfers, and spread adjustments
- Swaptions modelling in a risk-free rate framework
- Tenor basis model
- Modelling interest rate and FX derivatives with division algebras
- Lifting the heston model
- First correction to ATM swaption prices in HJM model
- Trading strategies in interest rates – to what extent can we predict whether there is a good time to be long or short on the benchmark?
Hear from leading experts in interest rate modelling and LIBOR
Why Not Also Attend:
Friday 15 May 2020
Workshop Leader: Marc Henrard, Visiting Professor, University College London
Modules will include an overview of the regulations and the impact of new benchmarks, the alternative benchmarks and risk management.
Monday 11 May 2020
Workshop leader: Bruno Dupire, Head Of Quantitative Research, Bloomberg L.P.
Modules will include the fundamentals of volatility, models, derivatives and trading and arbitrage.