Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012
, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, and has adopted the modern Multiple-Curve CSA approach, thus incorporating credit and liquidity effects into market prices …