For a long time interest-rate models were built on a single yield curve used both for discounting and forwarding. However, the crisis that has affected financial markets in the last years led market players to revise this assumption and accommodate basis-swap spreads, whose remarkable widening...

We extend the LIBOR market model to accommodate the new market practice of using different forward and discount curves in the pricing of interest-rate derivatives. Our extension is based on modeling the joint evolution of forward rates belonging to the OIS curve and corresponding spreads with...

We extend the LIBOR market model to accommodate the new market practice of using different forward and discount curves in the pricing of interest-rate derivatives. Our extension is based on modeling the joint evolution of forward rates belonging to the discount curve and corresponding spreads...