A closed form formula for swaption pricing in Heath-Jarrow-Morton framework and various applications
Báo cáo viên: Trịnh Tuấn Phong (Credit Agricole and Investment Bank, France)

Thời gian: 14h Thứ 5, ngày 07/01/2021

Địa điểm: Phòng 507 nhà A6 hoặc online qua link


Abstract: When we price a structured rate derivative, we need to calibrate our model to match the price of certain swaptions in the market. Hence, we need a fast and efficient formula for our model to price swaptions. By efficiency, we mean that the formula should work for any kind of swaptions (ATM, OTM, with negative principals, etc)