Prof. dr. Josef Teichmann: When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms (Matematični kolokvij)

Namesto na predavanje Seminarja za verjetnost, statistiko in finančno matematiko vas v četrtek, 5. decembra 2013, vabimo na Matematični kolokvij. Ob 14:15 bo v predavalnici 2.02 Fakultete za matematiko in fiziko Univerze v Ljubljani na Jadranski ulici 21 potekalo predavanje prof. dr. Josefa Teichmanna (ETH Zürich) z naslovom When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms.

Pozor, predavanje bo ob 14:15 v 2.02.

Povzetek predavanja: We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e., the bank account process is not a valid numéraire. We argue that this feature is not the exception but rather the rule in bond markets when starting with, e.g., terminal bonds as numéraires. If we can construct a bank account process through roll-overs, we can relate the impossibility of taking the bank account as numéraire to liquidity effects. Here we enter endogenously the arena of multiple yield curves. The theory is illustrated by several examples.

Vljudno vabljeni!