The irony in the derivatives discounting
Year of publication: |
2007-03-26
|
---|---|
Authors: | Henrard, Marc |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Cost of funding | coherent pricing | interest rate derivative pricing | Libor | irony |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing ; D24 - Production; Capital and Total Factor Productivity; Capacity |
Source: |
-
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco, Bianchetti, (2011)
-
Markets Evolution After the Credit Crunch
Bianchetti, Marco, (2012)
-
Interest Rates After the Credit Crunch: Markets and Models Evolution
Bianchetti, Marco, (2011)
- More ...
-
CMS swaps in separable one-factor Gaussian LLM and HJM model
Henrard, Marc, (2007)
-
TIPS Options in the Jarrow-Yildirim model
Henrard, Marc, (2006)
-
Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
Henrard, Marc, (2006)
- More ...