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~institution:"Federal Reserve Bank of New York"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~institution:"World Bank Group"
~person:"Bianchetti, Marco"
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Markets Evolution After the Credit Crunch
Bianchetti, Marco
;
Carlicchi, Mattia
-
Volkswirtschaftliche Fakultät, …
-
2012
of these effects based on the consideration of credit and
liquidity
variables. Then, we focus our attention on the …
Persistent link: https://www.econbiz.de/10011260721
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2
Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco
-
Volkswirtschaftliche Fakultät, …
-
2008
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors. Within such double-curve-single-currency framework,...
Persistent link: https://www.econbiz.de/10008457180
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