Similar Search Results

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Marco, Bianchetti - Volkswirtschaftliche Fakultät, … - 2011

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

Persistent link: https://www.econbiz.de/10011259157

Markets Evolution After the Credit Crunch

Bianchetti, Marco; Carlicchi, Mattia - Volkswirtschaftliche Fakultät, … - 2012

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

Persistent link: https://www.econbiz.de/10011260721

Interest Rates After the Credit Crunch: Markets and Models Evolution

Bianchetti, Marco; Carlicchi, Mattia - In: Journal of Financial Transformation 32 (2011), pp. 35-48

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

Persistent link: https://www.econbiz.de/10009318572

Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008

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

Persistent link: https://www.econbiz.de/10008457180

Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR

Marco, Bianchetti; Mattia, Carlicchi - Volkswirtschaftliche Fakultät, … - 2012

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

Persistent link: https://www.econbiz.de/10011110035

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...

Persistent link: https://www.econbiz.de/10010338764

A Long Run Risks Model of Asset Pricing with Fat Tails

Wang, Zhiguang - 2011

We explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by …

Persistent link: https://www.econbiz.de/10013122690

Asset Pricing With Incomplete Information and Fat Tails

Bidarkota, Prasad V. - 2019

We study a consumption-based asset pricing model with incomplete information and a- stable shocks. Incomplete …

Persistent link: https://www.econbiz.de/10012890005

The Swaption Cube

Trolle, Anders B. - 2016

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness...

Persistent link: https://www.econbiz.de/10013008774

Market Conditions, Default Risk and Credit Spreads

Tang, Dragon Yongjun - 2016

This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...

Persistent link: https://www.econbiz.de/10012989275