Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We …-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on …