The Irony in the Derivatives Discounting Part II: The Crisis

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-12-20 DOI:10.2139/ssrn.1433022

Marc Henrard

引用次数: 102

Abstract

Libor derivative pricing has changed with the crisis; Libor is not anymore one unambiguous curve as a large basis has appeared between different Libor tenors. A previous approach to derivative discounting is reviewed at the light of those changes. The valuation of so called linear derivatives, the yield curve construction and the valuation of vanilla options is analyzed.

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衍生品贴现的讽刺:第二部分:危机

Libor衍生品定价已随着危机发生变化;Libor不再是一条明确的曲线，因为不同的Libor期限之间出现了较大的基数。根据这些变化，对以前的衍生品贴现方法进行了回顾。分析了线性衍生品的估值、收益率曲线的构造和香草期权的估值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets