Benchmark transition: why mathematicians/statisticians are required

Abstract
In the past couple of years, interest rate derivatives markets have undergone important changes. In some majors currencies, the references benchmarks have moved from LIBOR types to overnight types. Those changes have legal and financial impacts but also generate many interesting mathematical finance questions. The seminar will propose an introduction to the benchmark transition through the lens of the relevant mathematical finance questions. The answer to those questions have significant impacts in terms of valuations and risk management for vanilla and exotic products.

Organizzatore
Sabrina Mulinacci