Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Year of publication: |
2008-11-14
|
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Authors: | Bianchetti, Marco |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | liquidity | crisis | counterparty risk | yield curve | forward curve | discount curve | pricing | hedging | interest rate derivatives | FRAs | swaps | basis swaps | caps | floors | swaptions | basis adjustment | quanto adjustment | measure changes | no arbitrage | QuantLib |
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