understanding of pricing as such, and to Land’s claim that risk-bearing vehicles and agencies tend to corrode the inherited social … means of the universal mechanism of pricing (namely, through the discounting of anticipated future earnings). They also …

plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are … carry very important consequences in derivative’s trading and risk management, such as, for example, basis risk …

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

In this paper, we explore the effects of dynamic uncertainty on the risk management of regulated industries and … instrument of risk management, since it allows the firms to pool the risks arising from the volatile environment, thereby …

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as …