Positive Interest Revisited: Yield Curve Modeling in Low Rate Environments

You are cordially invited to the FRE Lecture Series. Our special invited guest speaker is:

Bjorn Flesaker, Adjunct Professor at Courant Institute of Mathematical Science

A specific positive interest rate model proposed by Cairns is calibrated to US swap and swaption market data, and some of its empirical properties are examined. In the process, a computationally efficient swaption pricing approach is derived. The model is also reformulated as a short rate/long rate model in the spirit of the classical two-factor model of Brennan and Schwartz. In a related digression, we examine the natural yield curve representation that contains the short rate and the consol rate as its limiting values.  

Bio: 
Bjorn Flesaker is an Adjunct Professor at NYU Courant where he has taught courses on derivatives and credit modeling. Until recently, he spent six years heading quantitative research at Prudential Fixed Income. Previously, he worked in fixed income R&D and business management at Bloomberg, and he has managed derivatives oriented quant groups for several institutions, including Morgan Stanley, Bear Stearns and Merrill Lynch. Bjorn holds a PhD in Finance from UC Berkeley and was Assistant Professor of Finance at the University of Illinois at Urbana-Champaign. He currently serves as Managing Editor of the International Journal of Theoretical and Applied Finance.

Refreshments will be served. Please see this PDF for more information.