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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
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