Seminar 217, Risk Management: "Some empirical properties of a bounded interest rate model"

Seminar 217, Risk Management: "Some empirical properties of a bounded interest rate model"

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Oct 11, 2016, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Bjorn Flesaker, UC Berkeley (Speaker - Featured)
Abstract: We consider the two-factor version of a family of time homogeneous interest rate models introduced by Cairns (Math Finance, 2004) in the Flesaker-Hughston positive interest framework. Specifically, we calibrate the model to cross-sectional USD swap and swaption market data, and we compare the corresponding model implied dynamics to that of the swap market rates via PCA.