Stellenbosch University
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Department Statistics & Actuarial Science: Seminar - Alex Backwell (AIFMRM, UCT)
Start: 06/05/2022, 13:00
End: 06/05/2022, 14:00
Contact:Elizna Huysamen - 021 808 3244
Location: Van der Sterr Building, c/o Victoria & Bosman Street, Stellenbosch

​​We estimate a short-rate model with expected and unexpected jumps. This is motivated by interestrate
benchmark reform: forward-looking Libor is being replaced by, among other alternatives, a
backward-looking compounding of overnight rates. We price forward- and backward-looking
caplets. Expected jumps lead to significantly time-inhomogeneous option behaviour, particularly for
short-term options linked to a backward-looking benchmark.