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Articles

A Market Model of Interest Rates With Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies: Wilmott Magazine Article – Masaaki Fujii, Yasufumi Shimada, and Akihiko Takahashiko Takahashi

18th July 2016 admin 0

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross-currency as well as domestic interest rate markets. Furthermore, the widespread use of cash collateral, especially in fixed-income contracts, has made […]

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Paul's Blog

All Mod Cons

10th July 2016 Paul 0

For the UK and wilmott.com it’s that once-in-a-generation moment. A new bathroom? No! While Mark Carney performs his fine balancing act of talking down the UK in order not to lose face while not actually causing too much harm […]

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