Interest rate modeling under multiple discounting curves
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KeywordsOIS Discounting; Collateral; Interest rate modeling; Multiple discounting curves; FVA; CVA; Change of measure;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- 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-2013-10-11 (All new papers)
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