Tuesday, October 11th @ 11:00-12:30 PM (639 Evans Hall)
Some Empirical Properties of a Bounded Interest Rate Model
Bjorn Flesaker, Adjunct Professor at Courant Institute of Mathematical Sciences, NYU
We consider the two-factor version of a family of time-homogeneous interest rate models introduced by Cairns (Math Finance, 2004) in the Flesaker-Hughston positive interest framework. Specifically, we calibrate the model to cross-sectional USD swap and swaption market data, and we compare...