We extend the LIBOR market model to accommodate the new market practice of using
different forward and discount curves in the pricing of interest-rate derivatives. Our extension is …

Authors work as Head of Credit Models and Head of Financial Models at an Italian bank, this
first-hand contact with trading gives them a practical insights on the subject

We start by describing the major changes that occurred in the quotes of market rates after
the 2007 subprime mortgage crisis. We comment on their lost analogies and consistencies, …

In this article, we start by briefly reviewing the approach proposed by Jarrow and Yildirim for
modelling inflation and nominal rates in a consistent way. Their methodology is applied to …

We introduce a general class of analytically tractable models for the dynamics of an asset
price based on the assumption that the asset-price density is given by the mixture of known …

In the present paper we show how to extend any time-homogeneous short-rate model to a
model that can reproduce any observed yield curve, through a procedure that preserves the …

In this paper, we present a new interpretation of the parameterization of a correlation matrix
proposed earlier by some authors (Jäckel & Rebonato, 1999). This interpretation is based on …

Background Because of the extreme genetic variability of hepatitis C virus (HCV), we analyzed
whether specific HCV-genotypes are differently prone to develop resistance to linear and …

In this paper, we define and model forward risk-free term rates, which appear in the payoff
definition of derivatives, and possibly cash instruments, based on the new interest-rate …

We introduce an extended LIBOR market model that is compatible with the current market
practice of building different yield curves for different tenors and for discounting. The new …