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The Irony in the Derivatives Discounting Part II: The Crisis · Study

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PreprintThe Irony in the Derivatives Discounting Part II: The Crisis

Marc Henrard2009

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Preprintgreen2009

The Irony in the Derivatives Discounting Part II: The Crisis

53 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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2004Financial Derivatives in Theory and Practice 2009Interest Rates and The Credit Crunch: New Formulas and Market Models 2009A multi-quality model of interest rates 2007The Irony in the Derivatives Discounting

Cited by

2009Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves 2010A LIBOR Market Model with Stochastic Basis 2010Interest-Rate Modeling with Multiple Yield Curves 2011Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations53

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1433022

openalex_workW2168546199

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