Financial Engineering Practitioners Seminar: Fabio Mercurio
Date: March 21, 2016, All Day Event
Location: Davis Auditorium, CEPSR Building
Contact: For further information regarding this event, please contact IEOR Department by sending email to info@ieor.columbia.edu .
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Title: Interest Rate Modeling in the New Era

Abstract: We review the post-crisis market practice of multi-curve modeling for interest rate derivatives. We first present the new market formulas for interest rate swaps and options. We then introduce a general framework for multi-curve interest rate modeling. Finally, explicit examples based on a short-rate model and a LIBOR market model will be showcased

Bio: Fabio is head of Quantitative Analytics at Bloomberg LP, New York. He is also adjunct professor at NYU. He has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals and magazines, including 16 cutting-edge articles in Risk magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands."

Presentation Slides