東京大学金融教育研究センター
Japanese
English
Center for Advanced Research in Finance
お問い合わせ
サイトマップ
サイト検索
CARFホーム
センター紹介
ファカルティ
ワーキングペーパー
リサーチ
世界からのメッセージ
アクセス・マップ
リンク集
ワーキングペーパー
分類番号: CARF-F-378
発表時期: 2016 2
タイトル: A General Framework for the Benchmark pricing in a Fully Collateralized Market (formerly titled as "Choice of Collateral Currecy Updated" carf-f-371; Forthcoming in Journal of Financial Engineering)
著者: Masaaki Fujii, Akihiko Takahashi
Abstract:

Collateralization with daily margining has become a new standard in the post-crisis market. Although there appeared vast literature on a so-called multi-curve framework, a complete picture of a multi-currency setup with cross-currency basis can be rarely found since our initial attempts. This work gives its extension regarding a general framework of interest rates in a fully collateralized market. It gives a new formulation of the currency funding spread which is better suited for the general dependence. In the last half, it develops a discretization of the HJM framework with a fixed tenor structure, which makes it implementable as a traditional Market Model.

ファイル(PDF): full paper
ワーキングペーパー トップ
Copyright (C) Center for Advanced Research in Finance (CARF)