Advancing the Field of Quantitative Finance
formerly the IAFE


Event: IAFE /Thalesians Seminar Series
Date: Monday, November 19, 2012
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

The International Association of Financial Engineers is pleased to invite you to

IAFE /Thalesians Seminar Series:
New Challenges on Interest Rate Modeling
A Talk by Fabio Mercurio


The recent financial crisis has had a strong impact on fixed income markets. Various market rates that used to tack each other closely, such as LIBOR and OIS rates, suddenly diverged during the 2007 liquidity crisis, introducing significant "basis spreads" which cannot be neglected in models.

Market practice has thereafter forsaken the traditional concept of a single zero-coupon curve, and moved to a multi-curve set up by constructing and using different forward and discount curves.

In this talk, we review the new modeling issues which arise from the use of multiple yield curves for pricing interest rate derivatives for a given currency.

Fabio is head of Derivatives Research at Bloomberg LP, New York. Previously, he was head of Financial Engineering at Banca IMI, Milan. He is also adjunct professor at NYU. Fabio has jointly authored the book ‘Interest rate models: theory and practice’ and published extensively in books and international journals, including 13 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.

The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE ( and the Thalesians ( The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.