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Seminários do IMPA

Métodos Matemáticos em Finanças

Título
Pricing interest rate derivatives under monetary policy changes
Expositor
Alan de Genaro

FEA – Universidade de São Paulo
Data
Quarta-feira, 21 de fevereiro de 2018, 18:00
Local
Sala 232
Resumo

The goal of this talk is to develop a reduced-form model incorporating jumps around Central Bank (CB) meetings to price derivatives (options) on the overnight interest rate. The model decomposes rate changes into fluctuations between meetings and random jumps following CB meetings. This approach is useful for practitioners, because allows to extract expectations regarding Central Bank decision embedded in liquid instruments. We discuss applications to Brazilian fixed income and uncertainty around Central Bank meetings.