“Interest rate market: how economic changes affect mathematical modeling”
Wednesday 5 October 2022 h. 17:00 - Room 1C150 - Giacomo Lanaro (Padova, Dip. Mat.)
In the last fifteen years many changes in the economic and financial world have caused a great modification in the way in which every financial market is studied by the analysists. One market that has been most affected by these changes is the interest-rate market. We will present how this market worked before the 2007 crisis and what has no longer hold after that date. Moreover, we will show how the mathematical modeling has been adapted to correctly represent the new tasks that have arisen in those years. Finally, we will present how the problem of parameters recalibration for an interest-rate model can be faced in a geometric framework through the computation of the Lie algebra generated by a suitable set of vector fields in an infinite-dimensional setting.