Presentation
Forward curves are usually fitted to parametric models or interpolated via spline methods. We take a functional analytic approach via the Reproducing kernel Hilbert space (RKHS) geometry of the forward curves’ space. The idea is to let the available market data determine the curve while making as few additional assumptions as possible. It also provides a natural setting for stochastic modelling, where uncertainty can be introduced directly at the level of the forward curve rather than through a particular parametric representation.
Speaker
Juan Pablo Villa Jimenez is a Senior Risk Analyst at DNB, where he has worked since 2022. He holds a master's degree from the University of Oslo (2023) and began an industrial PhD in 2025 in collaboration with DNB and the University of Oslo.
Program
11:30 – Doors open and lunch is served
12:00 – "Fixed Income Markets via Reproducing Kernel Hilbert Space" by Juan Pablo Villa Jimenez (Senior Risk Analyst, DNB)
This event is open for all students, PhD candidates, postdocs, and everyone else who is interested in the topic. No registration needed.
About the seminar series
Once a month, dScience will invite you to join us for lunch and professional talks at the Science Library. In addition to these, we will serve lunch in our lounge in Kristine Bonnevies house every Thursday. Due to limited space (40 people), this will be first come, first served. See how to find us here.
Our lounge can also be booked by PhDs and Postdocs on a regular basis, whether it is for a meeting or just to hang out – we have fresh coffee all day long!