Upon the request of the speaker, no recording is available for this lecture.
The Department of Finance and Risk Engineering welcomes Andrei Lyashenko from Quantitative Risk Management, Inc. to the BQE Lecture Series.
Bridging P-Q Modeling Divide with Factor HJM Modeling Framework
We show how the factor modeling approach widely used to model yield curve evolution in real-world applications can be adapted to pricing applications using the Musiela HJM modeling framework. The resulting risk-neutral modeling framework combines the intuitiveness and computational efficiency of the factor modeling approach with the rigor of risk-neutral term structure pricing models.
Andrei Lyashenko is the head of Market Risk and Pricing Models at the Quantitative Risk Management (QRM), Inc. in Chicago. His team is responsible for research, implementation, and support of pricing and risk models across multiple asset classes. In November 2019, he was awarded the prestigious Quant of the Year award, jointly with Fabio Mercurio from Bloomberg, L.P., for their Risk Magazine paper on modeling backward-looking rates.
Andrei is also an adjunct professor at the Illinois Institute of Technology. Before joining the QRM in 1997, Andrei was on the mathematical faculty at the University of Illinois at Chicago and Iowa State University. Prior to coming to the US, he conducted academic research in applied math in Russia, Japan, and Italy and published numerous research papers in the area of fluid stability in major mathematical journals. He holds a BSc in Mathematics from the Novosibirsk State University, Russia, and a Ph.D. in Mathematics from the Russian Academy of Science.