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- W3124030970 abstract "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 derivative discounting is reviewed in the light of those changes. The valuation of so-called linear derivatives, the yield curve construction and the valuation of vanilla options is analyzed. Copyright © 2010 Wilmott Magazine Ltd. JEL Classification: G13, E43, C63 AMS mathematics subject classification: 91B28, 91B24, 91B70, 60G15, 65C05, 65C30 In memoriam Jacques Henrard, who gave me a taste for questions, specially the non-politically-correct ones." @default.
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- W3124030970 date "2010-12-01" @default.
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- W3124030970 title "The Irony in Derivatives Discounting Part II: The Crisis" @default.
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- W3124030970 doi "https://doi.org/10.1002/wilj.39" @default.
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