The recent financial crisis has spiked the credit and liquidity premia among financial products, and significant widening of basis spreads among Libors with different tenors and currencies has been observed in interest rate markets. Our previous work, "A Note on Construction of Multiple Swap...

Using exchange rates futures instead of forwards completes the maturity spectrum of the correlation between the spot return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We hypothesize that the influence of the unobserved risk...

Models of forward interest rates often use high-dimensional Brownian motions to capture imperfect correlations between near term and long term rates. Several statistical analyses suggest the practicality of using a simpler model. Principal component analyses reveal a pattern of correlations...