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Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
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
2011/3/30
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 relevant empirical evide...