University of Cambridge > > Cambridge Analysts' Knowledge Exchange > Term Structure Model

Term Structure Model

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact dp588.

A term-structure is a function that relates a certain financial variable or parameter to its maturity. Prototypical examples are the term-structure of interest rates or zero- coupon bond prices. Models to predict the future outcome of term-structures and their impact on an economy are not only essential to banks and other financial institution, but also to governments, since they depicted their current financial situation. The goal of this talk is to give an introduction to the mathematics of term-structure models in continuous time and non-arbitrage pricing theory. We will also see how a purely probabilistic problem can be transformed into to a deterministic one, i.e. solving a PDE .

This talk is part of the Cambridge Analysts' Knowledge Exchange series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.


© 2006-2022, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity