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q-fin.MF2026
Choice of Collateral Currency in Differential Swaps
Yining Ding, Ruyi Liu, Marek Rutkowski
The role of collateral in derivative pricing has evolved beyond credit risk mitigation, particularly following the global financial crisis, when funding costs and basis spreads bec…
q-fin.MF2024
Cross-Currency Basis Swaps Referencing Backward-Looking Rates
Yining Ding, Ruyi Liu, Marek Rutkowski
The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financ…
q-fin.MF2021
Pricing and hedging of SOFR derivatives
Matthew Bickersteth, Yining Ding, Marek Rutkowski
The LIBOR has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017 the Financial Conduct Authority an…