for basic plain vanilla interest rate derivatives, FRAs, swaps, caps/floors and swaptions in particular. These expressions … distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors … account the forward basis bootstrapped from market basis swaps. Numerical results show that the resulting forward basis curves …

Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught … building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are … managing even a single plain vanilla Swap. In this qualitative note we review the problem trying to shed some light on this …

Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of collateral agreements and CSA …-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … practice from the classical to the modern framework. In particular, we prove that the market of Interest Rate Swaps has …

HJM models. The shifted log-normal LMM exhibits a controllable volatility skew. An explicit approach is used for both …

futures option formula is derived. The approach is similar to the one used for Canary swaptions. …