The development of adequate modeling tools for the dynamical evolution of market prices and interest rates is of strategic importance for the financial industry and is at the core of the interests of much academic research. These models are, for example, the first building blocks in the construction of pricing and hedging tools and of portfolio optimization strategies, as well as in scenario generation for risk management.
These observations are particularly well-grounded in the fixed income framework where volumes are extremely important and the investment horizons are long. This school and workshop will focus on several families of models that are tailored to this specific context as well as on recent developments in this field. In particular, several approaches aimed at pricing fixed-income instruments in a context of very low interest rates will be presented.
The workshop is supported by the Louis Bachelier Prize 2016 awarded to Damir Filipovic (EPFL; Swiss Finance Institute) by the London Mathematical Society (LMS), the Natixis Foundation for Quantitative Research and the Société de Mathématiques Appliquées et Industrielles (SMAI).
Polynomial Models in Finance
by Damir Filipovic (EPFL; Swiss Finance Institute) and Martin Larsson (ETHZ)
Affine Processes in Asset Pricing Models
by Jean-Paul Renne (UNIL)