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While the Internet's first wave of disruption was marked by the unbundling of digital content, the second wave, decoupling, promises to generate more casualties in an even broader array of industries....
Dynamics on/in financial markets: dynamical decoupling and stylized facts
Dynamics financial markets dynamical decoupling stylized facts
2010/10/19
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least q...
Dynamics on/in financial markets: dynamical decoupling and stylized facts
financial markets stylized facts dynamical decoupling
2010/4/28
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least q...
Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
liquidity crisis counterparty risk yield curve forward curve discount curve
2010/11/1
We revisit the problem of pricing and hedging plain vanilla single-currency in-terest rate derivatives using multiple distinct yield curves for market coherent esti-mation of discount factors and forw...