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DTSTART:20250330T010000
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DTSTART;TZID=Europe/Helsinki:20250917T143000
DTEND;TZID=Europe/Helsinki:20250917T153000
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SUMMARY:Olivier GUEANT (Université Paris-Cité)  "Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market"
DESCRIPTION:Mathematical Finance\nTime: 2.3 p.m\nDate:17th of September  2025\nRoom 3001 \nOlivier GUEANT (Université Paris-Cité) “Cryptocurrencies and Interest Rates: Inferring Yield Curves\nin a Bondless Market” \nAbstract : In traditional financial markets\, yield curves are widely available for countries (and\, by extension\, currencies)\, financial institutions\, and large corporates. These curves are used to calibrate stochastic interest rate models\, discount future cash flows\, and price financial products. Yield curves\, however\, can be readily computed only because of the current size and structure of bond markets. In cryptocurrency markets\, where fixed-rate lending and bonds are almost nonexistent as of early 2025\, the yield curve associated with each currency must be estimated by other means. In this paper\, we show how mathematical tools can be used to construct yield curves for cryptocurrencies by leveraging data from the highly developed markets for cryptocurrency derivatives. \nJoint work : Philippe Bergault (Dauphine)\, Sébastien Bieber\, (Dauphine) and Wenkai Zhang (LCH) \nOrganizers:  Roxanna DUMITRESCU – Jean-François CHASSAGNEUX \n  \n
URL:https://crest.science/event/olivier-gueant-universite-paris-cite-t-b-a/
CATEGORIES:Finance-Insurance,Mathematical Finance,Seminars
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