A general framework for the benchmark pricing in a fully collateralized market
Masaaki Fuji and Akihiko Takahashi
| Year of publication: |
September 2016
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|---|---|
| Authors: | Fuji, Masaaki ; Takahashi, Akihiko |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 3, p. 1-30
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| Subject: | Swap | collateral | derivatives | Libor | currency | OIS | basis | HJM | CSA | Kreditsicherung | Collateral | Derivat | Derivative | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Benchmarking | Kreditderivat | Credit derivative | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500195 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011587747