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.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here