The impact of climate events on the economic and financial systems is of particular interest as societies navigate the transition towards a net-zero state (dealing with both physical and transition risk). Agent based models are a powerful modelling technique that can be used to model these...

The basis between swaps referencing funded fixings and swaps referencing overnight-collateralized fixings (e.g. 6 month Euribor vs 6 month Eonia) has increased in importance with the 2007-9 liquidity and credit crises. This basis means that new pricing models for fixed income staples like caps,...