building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the … pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

, operational and liquidity risks) risk management in a market-maker commercial bank is developed. This system guarantees reaching … profitability, liquidity and coverage of banking risks and thus allows the fullest protection of the interests of depositors …

Cycle, Pricing and Hedging Discount Factors and No Arbitrage Investment: Rule Bases, Alpha, Beta, View and Trade, Fund …, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricing …

Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …

Canada. It is also shown that a decline in the capital gains tax rate raises the after-tax yield on discount bonds, but … reduces the after-tax yield on premium bonds, and may even cause the yield on premium bonds to become negative. Further, a cut … in the tax rate on interest income raises the after-tax yield on all bonds, but raises the yield on premium bonds …

interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets …