Wednesday, April 20, 2016

Filtering bond and credit default swap markets

I presented this talk at the NYU-Tandon faculty seminar. I covered my own work on the rudimentary framework for Benchmark Solutions pricing service (now BMRK on Bloomberg) but did not go into details on all the other efforts of everyone involved. Some of the material has already been covered in my blog post on Kalman sensitivities via the adjoint state method.