Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
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References listed on IDEAS
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Cited by:
- Jacob Gyntelberg & Peter Hördahl & Kristyna Ters & Jörg Urban, 2013. "Intraday dynamics of euro area sovereign CDS and bonds," BIS Working Papers 423, Bank for International Settlements.
- Piotr Mielus, 2016. "Dylematy reformy indeksów rynku finansowego," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 91-114.
- Marcin Dec, 2019.
"Markovian and multi-curve friendly parametrisation of a HJM model used in valuation adjustment of interest rate derivatives,"
Bank i Kredyt, Narodowy Bank Polski, vol. 50(2), pages 107-148.
- Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," KAE Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
- Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
- Nikolaos Karouzakis & John Hatgioannides & Kostas Andriosopoulos, 2018. "Convexity adjustment for constant maturity swaps in a multi-curve framework," Annals of Operations Research, Springer, vol. 266(1), pages 159-181, July.
- Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
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More about this item
Keywords
liquidity; crisis; counterparty risk; yield curve; forward curve; discount curve; pricing; hedging; interest rate derivatives; FRAs; swaps; basis swaps; caps; floors; swaptions; basis adjustment; quanto adjustment; measure changes; no arbitrage; QuantLib;
All these keywords.JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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