Seminario de Probabilidad y Estadística
Expositor: Andrés Sosa (Instituto de Estadística - Departamento de Métodos Cuantitativos - Facultad de Ciencias Económicas y de Administración - Udelar.)
Resumen:
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate
tree model, which includes the possibility of a jump with a small probability at
each step to a practically zero interest rate. The corresponding BDT algorithms
are consequently modified to calibrate the tree containing zero interest rate
scenarios. This modification is motivated by the recent 2008–2009 crisis in the
United States and it quantifies the risk of future crises in bond prices and
derivatives. The proposed model is useful to price derivatives. This exercise
also provides a tool to calibrate the probability of this event. A comparison of
option prices and implied volatilities on US Treasury bonds computed with both
the proposed and the classical tree model is provided in six different scenarios
along the different periods comprising the years 2002–2017.
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Viernes 1/4 a las 10:30, Salón 101 - Facultad de Ingeniería y vía zoom.
Contacto: Alejandro Cholaquidis - acholaquidis@hotmail.com
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Lugar: Salón 101 - Facultad de Ingeniería y vía zoom. (frente a eléctrica,
debajo del nuevo IMERL)
Datos para la reunión virtual:
https://salavirtual-
udelar.zoom.us/j/81121640094?pwd=SWVsZ1V2TTI5aDZob0NTdXVRVzhVZz09
Página del seminario: https://pye.cmat.edu.uy/seminarios/cronograma-seminario
Página del grupo: https://pye.cmat.edu.uy/home
Canal de youtube: https://www.youtube.com/channel/UCOPZEOrLSAYPz2qCAL-KqMg/abo
ut