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1 libor vs. ois: the derivatives discounting dilemma 1 john hull and alan white march, 2012 this version july 2012 abstract traditionally practitioners have used libor and…
1 published in journal of investment management vol 11 no3 14-27 libor vs ois: the derivatives discounting dilemma* john hull and alan white march 2012 this version: april…
1 published in journal of investment management, vol. 11, no.3, 14-27 libor vs. ois: the derivatives discounting dilemma* john hull and alan white march 2012 this version:…
modeling interest rates john hull university of minnesota november 5 2014 copyright © 2014 john hull all rights reserved 1 recent interest rate research after a 15 year…
1 published in journal of investment management, vol. 11, no.3, 14-27 libor vs. ois: the derivatives discounting dilemma* john hull and alan white march 2012 this version:…
1 ois discounting and the pricing of interest rate derivatives john hull and alan white joseph l. rotman school of management university of toronto november 2013 abstract…
1. overnight index swaps a guide to ois tradingjosie von etzdorf and francois choquet advanced specialists asia pac analytics 2011 2. growth of short term ir trading single…
1.white paperois and csa discountingco-authored by rohan douglas and peter decrem (quantifi)• a new generation of interest rate modelling based ondual curve pricing and…
risk: can you elaborate on some of the events that have recently affected valuations for collateralised positions simon wilson royal bank of scotland sw: when people talk…
interest rates and fx models 1. libor and ois andrew lesniewski courant institute of mathematical sciences new york university new york january 26, 2012 2 interest rates…
white paper ois and csa discounting co-authored by rohan douglas and peter decrem (quantifi) • a new generation of interest rate modelling based on dual curve pricing and…
electronic copy available at: http://ssrn.com/abstract=2036979 bostonuniversityschoolofmanagementresearchpaperseries no.2012-11 ‘‘valuinginterestrateswapsusingoisdiscounting’’…
www.danskeresearch.com from curves to surfaces how plain vanilla grew complex den danske finansanalytikerforening october 27, 2010 ove scavenius, [email protected] martin…
1 published in journal of investment management, vol. 13, no. 1 (2015): 64-83 ois discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads…
a teaching note on pricing and valuing interest rate swaps using libor and ois discounting june 2012 donald j. smith associate professor of finance boston university school…
ois curve construction and ois discounting michael taylor finpricing ois overnight index swaps ois curves became the market standard for discounting collateralized cashflows…
advanced ois discounting: building proxy ois curves when ois markets are illiquid or nonexistent november 6 2013 about us follow us: twitter: @nxanalytics @jjockle linkedin:…
multi-curve modelling using trees john hull and alan white abstract since2008 thevaluationof derivatives has evolved so thatoisdiscounting rather than libor discounting is…
a teaching note on pricing and valuing interest rate swaps using libor and ois discounting june 2012 donald j. smith associate professor of finance boston university school…
journal of financial risk management 2014 3 113-142 published online september 2014 in scires http:wwwscirporgjournaljfrm http:dxdoiorg104236jfrm201433011 how to cite this…