Tid: 30 mars 2015 kl 10.30-11.15.

Föredragshållare: Zakaria El Menouni

Titel: Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis (Master's thesis)

Abstract The financial crisis of 2007/2008 has brought about a lot of changes in the interest rate market in particular, as it has forced to review and modify the former pricing procedures and methodologies. As a consequence, the Multi-Curve framework has been adopted to deal with the inconsistencies of the frameworks used so far, namely the single-curve method. We propose to study this new framework in details by focusing on a set of interest rate derivatives such as deposits, swaps and caplets, then we explore a stochastic approach to model the Libor-OIS basis spread, which has appeared since the beginning of the crisis and is now the quantity of interest to which a lot of researchers dedicate their work (F.Mercurio, M.Bianchetti and others). A discussion follows this study to set the light on the challenges and difficulties related to the modeling of basis spread.

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