Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
Year of publication: |
2012-03-28
|
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Authors: | Marco, Bianchetti ; Mattia, Carlicchi |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | crisis | liquidity | credit | counterparty | risk | fixed income | Libor | Euribor | Eonia | yield curve | forward curve | discount curve | single curve | multiple curve | volatility surface | collateral | CSA discounting | no arbitrage | pricing | interest rate derivatives | FRAs | swaps | OIS | basis swaps | caps | floors | SABR |
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