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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 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…
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…
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 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:…
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:…
multi-curve modelling using trees john hull and alan white abstract since2008 thevaluationof derivatives has evolved so thatoisdiscounting rather than libor discounting is…
7/31/2019 barclays libor/interest rate derivatives trading fraud 1/457/31/2019 barclays libor/interest rate derivatives trading fraud 2/457/31/2019 barclays libor/interest…
ps21/13: libor transition and the derivatives trading obligationspolicy statement ps21/13 financial conduct authority libor transition and the derivatives trading obligation
a comparison of libor to other measures of bank borrowing costs dennis kuo david skeie james vickery* this draft: june 2012 preliminary draft: work in progress abstract libor…
ice libor (formerly known as bba libor) interest rates danske bank is a trading name of northern bank limited. registered in northern ireland number r568. registered office:…
ois curve construction and ois discounting michael taylor finpricing ois overnight index swaps ois curves became the market standard for discounting collateralized cashflows…
curve building and swap pricing in the presence of collateral and basis spreads s i m o n g u n n a r s s o n master of science thesis stockholm, sweden 2013 curve building…
lessons learned from the financial crisisthe financial crisis what happened and where are wewhat happened and where are we now? julie l. stackhouse senior vice president…
breakdown of covered interest parity: mystery or myth? alfred wong jiayue zhang hong kong monetary authority 29 november 2018 1 the views expressed here are the authors’…
the audio portion of the conference may be accessed via the telephone or by using your computers speakers please refer to the instructions emailed to registrants for additional…
www.danskeresearch.com from curves to surfaces how plain vanilla grew complex den danske finansanalytikerforening october 27, 2010 ove scavenius, [email protected] martin…
electronic copy available at: http:ssrncomabstract=1563685 libor market models with stochastic basis fabio mercurio otc derivatives and structured notes bloomberg lp new…
analyst certifications and important disclosures are in the disclosure appendix for other important disclosures please refer to https:firesearchdisclosurecredit-suissecom…