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 …

and OIS rates, the explosion of basis swaps spreads, and the diffusion of collateral agreements and CSA-discounting, in …-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 …

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 …

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 …

apply my framework to United States yield curve data, with robust estimation via the iterated extended Kalman filter, and …

particular, since the start of the recent financial turmoil. We use monthly data on the Credit Default Swaps (CDS) of 41 major …

approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange. …