Term Structure Model

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• Thomas Du Toit, University of Cambridge
• Wednesday 27 November 2019, 16:00-17:00
• MR14, Centre for Mathematical Sciences.

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A term-structure is a function that relates a certain financial variable or parameter to its maturity. Prototypical examples are the term-structure of interest rates or zero- coupon bond prices. Models to predict the future outcome of term-structures and their impact on an economy are not only essential to banks and other financial institution, but also to governments, since they depicted their current financial situation. The goal of this talk is to give an introduction to the mathematics of term-structure models in continuous time and non-arbitrage pricing theory. We will also see how a purely probabilistic problem can be transformed into to a deterministic one, i.e. solving a PDE .

This talk is part of the Cambridge Analysts' Knowledge Exchange series.

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