We show that at-the-money implied volatility of options on futures of five-year Treasury notes
(Treasury “yield implied volatility”) predicts both the growth rate and volatility of gross …

This research offers the first analysis of whether gold, T-bills, Overnight Index Swaps (OIS) or
Interbank Offered Rates (IBOR) can be used as proxy for the risk-free asset in the UK, US …

Prior to 2007, derivatives practitioners used a zero curve that was bootstrapped from LIBOR
swap rates to provide “risk-free” rates when pricing derivatives. In the last few years, when …

Swap is a financial contract between two counterparties who agree to exchange one cash
flow stream for another, according to some predetermined rules. When the cash flows are …

Treasury securities enjoy a “money premium” because they are ultra‐safe and liquid.
However, during debt limit impasses, the safety and liquidity of Treasury securities …

Financial statements of major money-center commercial banks increasingly include
reference to a credit valuation adjustment (CVA), debit (or debt) valuation adjustment (DVA) …

Graph theoretical techniques are utilized to examine the centrality structure of overnight
index swap (OIS) networks. Correlation based graphs are constructed to encode pairwise …

The credit crunch of 2007 caused major changes in the market of interbank rates making the
existing interest rate theory inconsistent. This paper puts forward one way to reconcile …

This paper extends extant valuation models of interest rate swaps (IRS) with counterparty
credit risk by accounting for wrong-way risk and OIS discounting. The proposed model …

CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation
adjustments, have become widely used by major banks since the financial crisis. This book …