Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
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References listed on IDEAS
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More about this item
Keywordscrisis; liquidity; credit; counterparty; risk; fixed income; Libor; Euribor; Eonia; yield curve; forward curve; discount curve; single curve; multiple curve; volatility surface; collateral; CSA discounting; no arbitrage; pricing; interest rate derivatives; FRAs; swaps; OIS; basis swaps; caps; floors; SABR;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
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