World Finance Conference

World Finance Conference Talk 2015 - The Geometry of Interest Rate Risk

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

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!