Wednesday, May 12, 2021 - 16:00 in ZOOM - Video Conference
Long Term Yield Curves Modeling: a forward approach
A talk in the Bielefeld Stochastic Afternoon - Math Finance Session series by
Caroline Hillairet from Ensae Paris-CREST
| Abstract: |
The Ramsey rule, which is the reference equation in the economic literature to compute long term discount rates, links endogenous discount rate and marginal utility of aggregate optimal consumption at equilibrium. We provide a financial interpretation of the Ramsey rule, using marginal utility price and forward utility.The yield curve dynamics, its long term behavior and its dependency on different parameters (such as the wealth of the economy, or the time-horizon for the backward approach) are studied.
This is a joint work with Nicole El Karoui and Mohamed Mrad.
Zoom Meeting ID: 97356243711
Passcode: 967348
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