Modellizzare il Mercato dei Tassi d'Interesse dopo la Crisi: L'approccio HJM Multi-Curve

The 2007 crisis had as consequence a very strong impact on the financial community. Very basics concepts in the Interest Rates framework like discount rates and forward rates seem needing to be revised. In particular, the classical models used by Banks for pricing and trading Interest Rate Derivatives need to be updated and extended in order to be compatible with the new market environment. The evolved interest rates market suggests that, indeed, a single yield curve cannot be used for both discounting and generating future cash flows and therefore a Multiple-Curve Framework is required. A parsimonious Multiple-Curve HJM framework recently developed is the Weighted Gaussian Model. In this model market forward rates corresponding to different tenors are microscopically associated with the same ¿instantaneous¿ short rate process and, at the same time, all the yield curves of a given currency are modelled trough a common family of Markov processes.