22 Nov 2012
Elementary, my dear Watson, it s a bootstrap!
Interest rate curve bootstrap is the first and the most elementary (but not anymore simple) problem every financial institution has to manage. What was a standardized technique before the financial crisis it has become an open issue in the multi curve framework that has followed. The Colloquia will deal with some open issues and stylized facts in the bootstrap technique in the multifactor framework.
Scientific Committee
Emilio BARUCCI , Roberto BAVIERA , Daniele MARAZZINA
Politecnico di Milano - Dipartimento di Matematica Via Bonardi 9 - Milano conference room (7th Floor