-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …. The same analysis is applied to European Caps/Floors, finding that the full transition to the modern Multiple-Curve CSA …We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we …

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

We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we … 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 …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based …. The same analysis is applied to European caps/floors, finding that the full transition to the modern multiple-curve CSA …We present a quantitative study of the evolution of markets and models during the recent crisis. In particular, we …

-rational class has a very good fit to both interest rate swaps and swaptions since 1997 and captures many features of term structure … premiums, and iii) admits semi-analytical solutions to swaptions. A parsimonious model specification within the linear …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …. The same analysis is applied to European Caps/Floors, finding that the full transition to the modern Multiple-Curve CSA …We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …. The same analysis is applied to European Caps/Floors, finding that the full transition to the modern Multiple-Curve CSA …We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we …

precrisis and crisis subsamples. We design and estimate a dynamic term structure model that captures much of the dynamics of …

for basic plain vanilla interest rate derivatives, FRAs, swaps, caps/floors and swaptions in particular. These expressions …We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple … tenors. Within such double-curve-single-currency framework, adopted by the market after the credit-crunch crisis started in …