Interest rate derivatives Post-shock short-rate pricing The basis between swaps referencing funded fixings and swaps referencing overnight collateralised fixings has increased in importance with the 2007-09 liquidity and credit crises. This basis means that new pricing models for fixed-income staples such as caps, floors and swaptions are required. Recently, new formulas have been proposed using ...
| Year of publication: |
2010
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| Authors: | Kenyon, Chris |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 23.2010, 11, p. 79-84
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