Consistent Valuation across Curves Using Pricing Kernels

Consistent Valuation across Curves Using Pricing Kernels

The general problem of asset pricing when the discount rate differs from the rate at which an asset’s cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a yield curve having its own market, credit and li...

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Bibliographic Details
Main Authors: Andrea Macrina, Obeid Mahomed
Format: Article
Language:English
Published: MDPI AG 2018-03-01
Series:Risks
Subjects:
pricing kernel approach
rational pricing models
multi-curve term structures
OIS and LIBOR
spread models
HJM
multi-curve potential model
linear-rational term structure models
inflation-linked and foreign-exchanged securities
valuation in emerging markets
Online Access:http://www.mdpi.com/2227-9091/6/1/18

Internet

http://www.mdpi.com/2227-9091/6/1/18

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