With the realization in the markets and the regulatory world that Interbank Offered Rates (IBORs) may not be as stable and robust as necessary to represent sustainable, global interest rate benchmarks, the search for alternatives has led to (secured or unsecured) overnight rates. The question of...

In this paper we present a simple yet generic method for fast and robust Monte-Carlo calculation of sensitivities of Collateralized Debt Obligations (CDOs). The method is product independent and only relies on four pricings against modified models. From a modeling perspective the method is also...

In this paper we consider cross-currency Markov-functional models and their calibration under the spot measure. Hunt, Kennedy and Pelsser introduced a single-currency Markov-functional interest rate model in the terminal measure and showed how to efficiently calibrate it to LIBOR or swaprate...