which will take place from Monday 13 July to Friday 17 July 2020. The agenda of the conference can be found on the organizer web site:
Marc's talk, will be titled Discounting Big-Bang: Quant Perspective and Convexity Adjustments.
- Collateral and discounting big-bang process
- Valuation impacts: theoretical clean process
- Valuation impacts: practical dirty process
- Transition and convexity adjustments
Note added 2020-08-18: The developments underlying the presentation are detailed in a paper that has been accepted for publication in Risk.Net.