Visiting Professor UCL

I'm proud to announce that my appointment as Visiting Professor in the University College London -  Department of Mathematics has been extended to May 2021.

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Short note on long-term repos

The market infrastructure for interbank lending and derivatives has dramatically changed over the last ten years. The interbank lending is done now mainly on a secured basis. Derivatives are margined daily with variation margin guaranteeing the full present value of the trades. The world of interest rate benchmarks is also rapidly changing with the possible discontinuation of the IBOR benchmarks that have reigned on the benchmark kingdom over the last 30 years and the emergence of secured rate overnight benchmarks. All derivative users are now well aware of the difference between overnight-indexed swap (OIS) rates and term LIBOR deposit rates even if its discovery may have been sudden to some market participants in 2007. When we combined the secured term lending, the collateralised derivatives and the secured benchmark, what is left of the OIS-term deposit difference? This is the question I try to answer in a brief note now available on SSRN at https://ssrn.com/abstract=3258690 U...
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Published!

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My " Interest Rate Modelling in the Multi-curve Framework " book has finally been published! It took quite some time between finishing the writing in the first half of 2025 and the actual physical availability. Hopefully some of you will find some interest in the result. Training based on the book’s content will be proposed. It can be as in-house or public workshops. One of the public workshops is planned for 17 and 18 December. Don’t hesitate to contact me if you are interested. ISBN-13: 978-3-032-02684-2 Related posts: Multi-curve framework book: new edition in progress Multi-curve book's cover Multi-curve book's cover (2) Multi-curve book: About the Book Multi-curve framework book new edition: endorsement by Andrea Pallavicini Multi-curve framework book new edition: endorsement by Marco Bianchetti Multi-curve framework book new edition: endorsement by Damiano Brigo Book publication soon!
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Overnight indexed futures

With the recent changes in market infrastructure and in the regulatory framework the importance of overnight benchmarks has increased in the last years and is expected to increase further. With that increased importance, the market will look for source of liquidity for overnight based derivatives beyond the traditional OIS. In its document on SONIA as the RFR, the The Working Group on Sterling Risk-Free Reference Rates calls for the development and promotion of interest rate derivative products which reference the RFR, including the design of a futures contract . At a couple of days interval, CurveGlobal and CME have announced their plans to launch new overnight benchmark based futures. In the case of CurveGlobal, the futures is called Three month SONIA futures. The launch is planned for Q2 2018. In the case of CME the futures is called CME Three-Month SOFR Futures. The launch is planned for 7 May 2018. The CME futures is based on the Secured Overnight Financing Rate (SOFR). The SOFR...
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