After the credit and liquidity crisis started in summer 2007 the market has recognized that multiple yield curves are required for estimation of both discount and FRA rates with dfferent tenors (e.g. Overnight, Libor 3 months, etc.), consistently with the large basis spreads and the wide...

We discuss efficient pricing methods via a Partial Differential Equation (PDE) approach for long dated foreign exchange (FX) interest rate hybrids under a three-factor multi-currency pricing model with FX volatility skew. The emphasis of the paper is on Power-Reverse Dual-Currency (PRDC) swaps...

In this paper, motivated by existing and growing evidence on multiple macroeconomic volatilities, we extend the long-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of economic fundamentals. With this extension, the new...

In this paper we analyse the impact of tenor basis in a multi-curve environment on the pricing of CMS instruments. CMS derivatives may be priced by means of a replication approach. Doing so the derivative is translated into a portfolio of Vanilla swaptions. On the one side multi-curve pricing...

We propose a general framework for efficient pricing via a Partial Differential Equation (PDE) approach of cross-currency interest rate derivatives under the Hull-White model. In particular, we focus on pricing long-dated foreign exchange (FX) interest rate hybrids, namely Power Reverse Dual...

We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...

We present an empirical study of the pricing effect of liquidity in the credit default swaps (CDS) market. We construct liquidity proxies to capture various facets of CDS liquidity including adverse selection, search frictions, and inventory costs. We show that the liquidity effect on CDS...

We analyze a six-factor model for Treasury bonds, corporate bonds, and swap rates and decompose swap spreads into three components: A convenience yield from holding Treasuries, a credit risk element from the underlying LIBOR rate, and a factor specific to the swap market. The convenience yield...

We study a structural model that allows us to examine how credit spreads are affected by the interaction of macroeconomic conditions and firm characteristics. Unlike most other structural models, our model explicitly incorporates equilibrium macroeconomic dynamics and models a firm's cash flow...

We study the effects of incorporating incomplete information in the recently developed long run risks model of asset pricing. Studying the effects of incomplete information in such a setting is tractable, especially in the homoskedastic case with no fluctuating economic uncertainty. The...