Marco Bianchetti

  1. Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR.

    Authors: Marco Bianchetti, Mattia Carlicchi
    Subjects: Pricing of Securities
    Abstract

    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 evidences regarding the divergences
    between Libor and OIS rates, the explosion of Basis Swaps spreads, and the
    diffusion of collateral agreements and CSA-discounting, in terms of credit and
    liquidity effects.

  2. Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves.

    Authors: Marco Bianchetti
    Subjects: Pricing of Securities
    Abstract

    We revisit the problem of pricing and hedging plain vanilla single-currency
    interest rate derivatives using multiple distinct yield curves for market
    coherent estimation of discount factors and forward rates with different
    underlying rate tenors.

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