Seminario: A general HJM framework for multiple curve modeling

Venerdì 30 Maggio 2014 - Aula 2AB40 - Claudio Fontana



Venerdì 30 Maggio 2014 in aula 2AB40 il Dott. Claudio Fontana terrà un seminario dal titolo "A general HJM framework for multiple curve modeling".

We propose a general HJM approach to the modeling of multiple yield curves. In a general semimartingale setting, we model the term structure of multiplicative spreads between (normalized) FRA rates and simply compounded OIS risk-free forward rates. We derive HJM drift and consistency conditions ensuring absence of arbitrage and we show how to construct models such that spreads are greater than one and ordered with respect to the tenor's length. When the driving semimartingale is an affine process, we obtain a flexible Markovian structure which allows for simple valuation formulas for most interest rate derivatives.

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