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A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies

Citations

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Cited by:

  1. Masaaki Fujii & Akihiko Takahashi, 2016. "A General Framework for the Benchmark pricing in a Fully Collateralized Market," CIRJE F-Series CIRJE-F-1000, CIRJE, Faculty of Economics, University of Tokyo.
  2. Markus Hess, 2019. "An Arithmetic Pure-Jump Multi-Curve Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-30, December.
  3. Masaaki Fujii & Akihiko Takahashi, 2016. "A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engi," CARF F-Series CARF-F-378, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  4. Kristoffer Andersson & Alessandro Gnoatto, 2025. "Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis," Papers 2502.14766, arXiv.org, revised Feb 2025.
  5. Laura Morino & Wolfgang J. Ruggaldier, 2014. "On multicurve models for the term structure," Papers 1401.5431, arXiv.org.
  6. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, vol. 20(2), pages 267-320, April.
  7. Masaaki Fujii, Akihiko Takahashi, 2011. "Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-," CARF F-Series CARF-F-260, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  8. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Papers 2001.11012, arXiv.org, revised Mar 2021.
  9. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
  10. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  11. The Anh Nguyen & Frank Thomas Seifried, 2015. "The Multi-Curve Potential Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-32, November.
  12. Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org, revised Nov 2024.
  13. Giacomo Morelli, 2021. "Fair prices under a unified lattice approach for interest rate derivatives," Annals of Operations Research, Springer, vol. 299(1), pages 429-441, April.
  14. Masaaki Fujii & Akihiko Takahashi, 2016. "A general framework for the benchmark pricing in a fully collateralized market," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-30, September.
  15. Yangfan Zhong & Yanhui Mi, 2018. "Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-31, September.
  16. Masaaki Fujii & Akihiko Takahashi, 2015. "Choice of Collateral Currency Updated--A market model for the benchmark pricing--," CIRJE F-Series CIRJE-F-988, CIRJE, Faculty of Economics, University of Tokyo.
  17. Masaaki Fujii & Akihiko Takahashi, 2015. "A General Framework for the Benchmark pricing in a Fully Collateralized Market," Papers 1508.06339, arXiv.org, revised Sep 2015.
  18. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
  19. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
  20. Masaaki Fujii & Akihiko Takahashi, 2015. "Choice of Collateral Currency Updated -A market model for the benchmark pricing-," CARF F-Series CARF-F-371, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  21. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Risks, MDPI, vol. 6(1), pages 1-39, March.
  22. Yangfan Zhong, 2018. "LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-38, June.
  23. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
  24. Minhaj Mahmud & Yasuyuki Sawada, 2015. "Happiness in Life Domains: Evidence from Bangladesh Based on Parametric and Non-Parametric Models," CIRJE F-Series CIRJE-F-987, CIRJE, Faculty of Economics, University of Tokyo.
  25. Francesca Biagini & Alessandro Gnoatto & Katharina Oberpriller, 2025. "When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization," Papers 2502.12774, arXiv.org, revised Feb 2025.
  26. Masaaki Fujii & Akihiko Takahashi, 2011. "Clean Valuation Framework for the USD Silo -An implication for the forthcoming Standard Credit Support Annex (SCSA)-," CIRJE F-Series CIRJE-F-829, CIRJE, Faculty of Economics, University of Tokyo.
  27. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
  28. Masaaki Fujii & Akihiko Takahashi, 2011. "Clean Valuation Framework for the USD Silo," Papers 1112.1763, arXiv.org.
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