Seminar at Università di Bologna

I will be giving a seminar at the Università di Bologna - Dipartimento di Scienze Stastistiche (online) on Thursday 17 March at 16h00 (local time).

Seminar web page: https://stat.unibo.it/it/eventi/benchmark-transition-why-mathematicians-statisticians-are-required

Title

Benchmark transition: why mathematicians/statisticians are required

Short abstract

In the past couple of years, interest rate derivatives markets have undergone important changes. In some majors currencies, the references benchmarks have moved from LIBOR types to overnight types. Those changes have legal and financial impacts but also generate many interesting mathematical finance questions. The seminar will propose an introduction to the benchmark transition through the lens of the relevant mathematical finance questions. The answer to those questions have significant impacts in terms of valuations and risk management for vanilla and exotic products.

The seminar invite is below. Contact me for the seminar link.

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