LIBOR Market Models with Stochastic Basis

By Fabio Mercurio. 2010

74 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/df7dedeb9525e3fea13bdd1960ecabf7c8136671

Citations in the corpus

• The Term Structure of Interbank Risk (2012, unknown): “…Reserve banks, which include US depository institutions, US Several papers including Bianchetti (2009), Fujii, Shimada, and Takahashi (2009), Henrard (2009), and Mercurio (2009, 2010) have developed pricing models for interest rate derivatives that take the stochastic IRS-OIS spread into account.”