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Spring 2008
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Jerome Pansera
Quantitative Analyst
Geode Capital Management
"Consistent Interest-Rate Modeling"
3:00 Refreshments in 241 Schaeffer Hall
3:30 Talk in 140 Schaeffer Hall
Interest rates are dependent on two variables: the calendar
time and the time to maturity. They can thus be represented as a
surface. In this talk, we discuss two pitfalls that may occur when
building a mathematical model of this surface: arbitrage opportunities
and model inconsistency. We also present one of the simplest models
that avoid these two pitfalls. Finally, we estimate the parameters of
this simple model.
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All talks are free and open to the public.
To receive colloquium reminders via email, please send a request to statistics@uiowa.edu.
Past colloquia:
Fall 2007 | Spring 2007 |
Fall 2006 | Spring 2006 |
Fall 2005 |
Spring 2005 | Fall 2004 | Spring 2004 | Fall 2003 | Spring 2003 | Fall 2002 | Spring 2002 | Fall 2001 | Spring 2001 | Fall 2000 | Spring 2000 | Fall 1999 | Spring 1999 | Fall 1998 | Spring 1998
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