Seminar 217, Risk Management: A Term Structure Model for Dividends and Interest Rates

Seminar 217, Risk Management: A Term Structure Model for Dividends and Interest Rates

Risk Seminar
Jul 31, 2018, 02:00 PM - 03:30 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Damir Filipović, Ecole Polytechnique Fédérale de Lausanne (Speaker - Featured)
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form.