The generalised forward market model – Modeling the volatility decay
In this session at the Global Quant Network 2021, Fabio Mercurio, global head of quantitative analytics at Bloomberg, presents his latest work on modeling of the new interest rate benchmarks. Mercurio demonstrates how the generalised forward market model introduced by himself and Andrei Lyashenko in 2019 can be extended to make it a complete term-structure model describing the evolution of all points on a yield curve, as well as that of a bank account.
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