[图书][B] Foreign exchange option pricing: A practitioner's guide

IJ Clark - 2011 - books.google.com
This book covers foreign exchange options from the point of view of the finance practitioner.
It contains everything a quant or trader working in a bank or hedge fund would need to know …

Interest rates and the credit crunch: new formulas and market models

F Mercurio - Bloomberg portfolio research paper, 2009 - papers.ssrn.com
We start by describing the major changes that occurred in the quotes of market rates after
the 2007 subprime mortgage crisis. We comment on their lost analogies and consistencies …

[图书][B] Interest rate modelling in the multi-curve framework: Foundations, evolution and implementation

M Henrard - 2014 - books.google.com
Following the financial crisis dramatic market changes, a new standard in interest rate
modelling emerged, called the multi-curve framework. The author provides a detailed …

LIBOR market models with stochastic basis

F Mercurio - Bloomberg education and quantitative research paper, 2010 - papers.ssrn.com
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 …

Parsimonious HJM modelling for multiple yield curve dynamics

N Moreni, A Pallavicini - Quantitative Finance, 2014 - Taylor & Francis
Classical interest-rate models were formulated to satisfy by construction, no-arbitrage
relationships, which allow to hedge forward-rate agreements in terms of zero-coupon bonds …

The irony in derivatives discounting part II: The crisis

M Henrard - Wilmott journal, 2010 - Wiley Online Library
Libor derivative pricing has changed with the crisis; Libor is no longer one unambiguous
curve as a large basis has appeared between different Libor tenors. A previous approach to …

Kriging of financial term-structures

A Cousin, H Maatouk, D Rullière - European Journal of Operational …, 2016 - Elsevier
Due to the lack of reliable market information, building financial term-structures may be
associated with a significant degree of uncertainty. In this paper, we propose a new term …

Modern LIBOR market models: using different curves for projecting rates and for discounting

F Mercurio - International Journal of Theoretical and Applied …, 2010 - World Scientific
We introduce an extended LIBOR market model that is compatible with the current market
practice of building different yield curves for different tenors and for discounting. The new …

Interest rates after the credit crunch: Multiple-curve vanilla derivatives and SABR

M Bianchetti, M Carlicchi - arXiv preprint arXiv:1103.2567, 2011 - arxiv.org
We present a quantitative study of the markets and models evolution across the credit
crunch crisis. In particular, we focus on the fixed income market and we analyze the most …

A guide to FX options quoting conventions

D Reiswich, U Wystup - Journal of Derivatives, 2010 - search.proquest.com
Puts and calls on stocks are very familiar. Options on commodities are only a little different.
Interest rate derivatives and bond options have some unique features but are also very …