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SUMMARY:Term Structure Model - Thomas Du Toit\, University of Cambridge
DTSTART:20191127T160000Z
DTEND:20191127T170000Z
UID:TALK135298@talks.cam.ac.uk
CONTACT:84031
DESCRIPTION:A term-structure is a function that relates a certain financia
 l variable or parameter to its maturity. Prototypical examples are the ter
 m-structure of interest rates or zero- coupon bond prices. Models to predi
 ct the future outcome of term-structures and their impact on an economy ar
 e not only essential to banks and other financial institution\, but also t
 o governments\, since they depicted their current financial situation.\nTh
 e 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 t
 o a deterministic one\, i.e. solving a PDE.
LOCATION:MR14\, Centre for Mathematical Sciences
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