CORDIS Project
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This project develops new models for understanding interest rate movements in finance, focusing on polynomial processes that address multiple risk factors. It aims to enhance the accuracy of financial models used for long-term liabilities and investment strategies.
The term structure of interest rates plays a central role in the functioning of the interbank market.
It also represents a key factor for the valuation and management of long term liabilities, such as pensions.
The financial crisis has revealed the multivariate risk nature of the term structure, which includes inflation, credit and liquidity risk, resulting in multiple spread adjusted discount curves.
This has generated a strong interest in tractable stochastic models for the movements of the te…
ECOLE POLYTECHNIQUE FEDERALE DE LAUSANNE
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