Séminaire FDD-FiME // E. Daboussi
Elias Daboussi (Bank of America Merrill Lynch)
Titre: Modelling of CMS-Linked Products in an RFR framework
Résumé:
Capitalizing on the Market’s adoption of Risk Free Rates (RFR) as benchmarks, we solve the problem of handling consistently single-expiry Interest Rates derivatives (e.g. CMS, CMS Spread-Options, Mid-Curves, Basket-Options etc..) in a way that respects the underlying swaps inter-dependencies as well as their volatilities across strikes and tenors, without resorting Read more [...]
