Dynamic Term Structure Modeling

Speaker(s)

Prof. Thorsten Schmidt

Affiliation

Technical University Chemnitz

Date

Nov. 24, 2010, 2:15 p.m.

Room

room 5820

Seminar

Seminar of the Group of Mathematical Methods in Economy, Finances and Insuarance

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W ramach seminarium uczestnicy sa zachecani do obecnosci na cyklu wykladow (15 hours)

Monday 22                                    14.00-15.30
Tuesday 23         10.00-11.30         14.00-15.30
Wednesday 24    10.00-11.30         14.00-15.30
Thursday 25        10.00-11.30         14.00-15.30
Friday 26            10.00-10.45


Summary:
This series of lectures considers the modeling of term structures on different markets. The starting point is the
classical approach from Heath, Jarrow and Morton (1992). We extend the framework sequently to more general
settings allowing the driving process to be a general semimartingale. This leads to interesting questions of
existence, consistency and invariant measures which shall be treated.

Besides having a general framework, for practical applications models are needed which have nice numerical
properties. We will study market models along the lines of Brace, Gatarek and Musiela (1995) and affine models
as in Duffie, Filipovic and Schachermayer (2003)

Thereafter we consider the application of this framework to different markets. One particular case which will
be studied is the application to CDO markets, where we follow Filipovic, Overbeck and Schmidt (2009).
For practical applications, affine models as well as market models will be studied.

We will conclude with an overview on further markets, like electricity markets, and give a short sketch on the
difficulties arising.

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