Session: TU-P-EM
Interest Rate, Yield Curves, and Derivatives

Chair

Ernst Eberlein

Time

14:30 - 16:30 on Tuesday, 17th of July 2018

Venue

Emmet

14:30

EMPIRICAL ANALYSIS AND FORECASTING OF MULTIPLE YIELD CURVES

Eva Luetkebohmert (University of Freiburg), Christoph Gerhart (University of Freiburg)
15:00

Computation and Estimation of Shadow Interest Rate Models

Muchen Zhao (Northwestern University), Vadim Linetsky (Northwestern University)
15:30

Long-term risk with stochastic interest rates

Federico Severino (Universita della Svizzera Italiana)
16:00

Hybrid Lévy models: Design and computational aspects

Ernst Eberlein (University of Freiburg), Marcus Rudmann (University of Freiburg)