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- W4302317539 abstract "The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit and liquidity risk characteristics. The proposed framework precludes arbitrage within each market, while the definition of a curve-conversion factor process links all markets in a consistent arbitrage-free manner. A pricing formula is then derived, referred to as the across-curve pricing formula, which enables consistent valuation and hedging of financial instruments across curves (and markets). As a natural application, a consistent multi-curve framework is formulated for emerging and developed inter-bank swap markets, which highlights an important dual feature of the curve-conversion factor process. Given this multi-curve framework, existing multi-curve approaches based on HJM and rational pricing kernel models are recovered, reviewed and generalised, and single-curve models extended. In another application, inflation-linked, currency-based, and fixed-income hybrid securities are shown to be consistently valued using the across-curve valuation method." @default.
- W4302317539 created "2022-10-06" @default.
- W4302317539 creator A5003750152 @default.
- W4302317539 creator A5069733877 @default.
- W4302317539 date "2018-01-15" @default.
- W4302317539 modified "2023-10-16" @default.
- W4302317539 title "Consistent Valuation Across Curves Using Pricing Kernels" @default.
- W4302317539 doi "https://doi.org/10.48550/arxiv.1801.04994" @default.
- W4302317539 hasPublicationYear "2018" @default.
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