In this talk the process of interest rate risk management is considered. The yield curve construction is revisited and emphasis is given to aspects such as input instruments, bootstrap and interpolation. For various financial products new formulas are presented that are crucial to define sensitivities to changes in the instruments and/or in the curve rates. Such sensitivities are exploited for hedging purposes. The risk space is constructed, which eventually turns out to be a curve property, and show how to hedge any product or any portfolio of products in terms of the original curve instruments. Continue reading
Program of World Finance Conference now online
The program of the World Finance Conference in Buenos Aires is now online [update 4/4/2016 resource is no longer online].
UD is on July 23rd.
UD @ World Finance Conference (Buenos Aires, July 2015)
We are happy to announce that our work from last year on interest rate risk has been accepted for presentation at the World Finance Conference. The conference will take place in Buenos Aires (Argentina) on 21-24 July, where we will talk about our geometry paper (and maybe mention our related works).
More detailed information about the content of the conference will follow in future posts. Stay tuned!