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 […]