Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We … practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA … the overnight discounting of cash flows originated by derivative transactions under collateral with daily margination. We … practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has …

CME will soon be proposing a new product: Deliverable Interest Rate Swap Futures. This note describes the product and … prices and hedging with those futures …

accelerating pace of innovation in new types of derivative instruments, has sparked debate over the risks posed by the growth of … trading in derivative instruments and the appropriate scope of regulation of the over-the-counter market …

Basis Swaps in a multi-curve setup. The Libor rate is considered here as a risky rate, subject to the credit risk of a … assumed. In this context, we implement the model and obtain the price of Basis Swaps using a numerical scheme based on the …

Forwards, futures, and swaps are contractual agreements that establish transactions to be executed at a future date … futures, options provide the right but not the obligation of buying or selling an asset. The valuation of options is described … the possibility of circumventing trading restriction and regulations. On this brief study, the valuation of futures …