Showing 1 - 10 of 10
We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo (MC) results in great detail, using high-dimensional...
Persistent link: https://www.econbiz.de/10011252984
Persistent link: https://www.econbiz.de/10008814713
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...
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 different underlying rate tenors. Within such double-curve-single-currency...
Persistent link: https://www.econbiz.de/10005099220
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that...
Persistent link: https://www.econbiz.de/10010599894
We present a quantitative study of the evolution of markets and models during the recent crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidence regarding the divergence between Libor and OIS rates, the explosion of basis swaps spreads, and...
Persistent link: https://www.econbiz.de/10009318572
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most relevant empirical evidences regarding the divergence of the existing basis between interbank rates with different...
Persistent link: https://www.econbiz.de/10010607003
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
The large basis spreads observed on the interest rate market since the liquidity crisis of summer 2007 imply that different yield curves are required for market coherent estimation of forward rates with different tenors (e.g. Euribor 3 months, Euribor 6 months, etc.).In this paper we review the...
Persistent link: https://www.econbiz.de/10012746583
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 different underlying rate tenors.Within such double-curve-single-currency...
Persistent link: https://www.econbiz.de/10012706949