Section: Contracts and Grants with Industry

Contract with Calyon

Participants : Denis Talay, Etienne Tanré.

This new contract with Calyon started on January 2009 and concerns the study of the liquidity risk on the bond markets. During his internship, F. Bravo has examined the liquidity problems related to the standard interest rate derivatives. An analysis of the swap hedging strategy shows the importance of the liquidity hedging instruments. We now investigate the impact of liquidity in the pricing of standard interest rate options.

C. Michel (Calyon), V. Reutenauer (Calyon), D. Talay and E. Tanré are collaborating on this subject.