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LIBOR vs. OIS: The Derivatives Discounting Dilemma

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References

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2020Benchmark interest rates when the government is risky55 cited
2016A Comparative Analysis of Tools to Limit the Procyclicality of Initial Margin Requirements51 cited
2021Engineering lemons45 cited
2018Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options43 cited

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2016

Systemic risk among European banks: A copula approach

32 cited

2024The Term Structure of Covered Interest Rate Parity Violations21 cited