Marc Henrard will present a seminar at
which will take place on-line from Monday 22 February to Friday 26 February 2021. The agenda of the conference can be found on the organizer web site:
Marc's talk will take place on Wednesday 24 November at 13:00 GMT and will be titled Benchmarks in transition: Hidden convexities.
- Overnight transition: why is it important to everybody?
- Overnight transition: where does it appear?
- Modelling approach
- Impact on OIS
- Impact on Swaptions
- Impact on LIBOR forwards
The proprietary research underlying the presentation will be detailed in a forthcoming working paper. The link to the paper will be added soon.