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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.MF2022
Vulnerable European and American Options in a Market Model with Optional Hazard Process
Libo Li, Ruyi Liu, Marek Rutkowski
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated a…