Interest rate derivatives - The basis goes stochastic - The one-curve world of pre-crisis modelling is long gone — Now derivatives desks need to use a variety of fixings depending on the product traded. Here, the authors show how a stochastic multi-curve world can be modelled excluding arbitrage.
| Year of publication: |
2012
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|---|---|
| Authors: | Mercurio, Fabio ; Xie, Zhenqiu |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 25.2012, 12, p. 78-83
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