Volatility structures and interest rate structures

Project Details


The use of financial leverage to boost profits has contributed to an accelerated growth of the derivatives markets in both infrastructure and operations.


Develop mathematical tools that allow estimating volatility structures and interest rates in order to enhance the correct valuation of a derivative instrument as well as its risk management.

Expected results

Identify and estimate volatility and correlation models for a given time series, which allow the estimation of volatility and interest structures.
Effective start/end date18/01/1018/08/11


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