2 citations · 3 across the 4 of their papers we have counts for
4 papers · 1 filter
No Fear of Discounting - How to Manage the Transition from EONIA to ESTR
Marco Bianchetti, Marco Scaringi
An important step in the Financial Benchmarks Reform was taken on 13th September 2018, when the ECB Working Group on Euro Risk-Free Rates recommended the Euro Short-Term Rate ESTR…
Learning Bermudans
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti +2
American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the pr…
Markets Evolution After the Credit Crunch
Marco Bianchetti, Mattia Carlicchi
We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we focus on the fixed income market and we analyse the most rel…
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
Marco Bianchetti
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months…