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Bianchetti, Marco's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
7,233 |
Total
Citations
14 |
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1.
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Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management
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Posted:
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29 Jan 09
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Last Revised:
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01 Aug 12
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5,736
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12
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management
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liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib, FRAs
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management
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29 Jan 09
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Last Revised:
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01 Aug 12
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5,736
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12
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liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, FRAs, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib
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2.
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Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management Carlicchi, Mattia
Intesa Sanpaolo - Market Risk Management
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Posted:
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14 Mar 11
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Last Revised:
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03 Apr 12
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732
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management Carlicchi, Mattia
Intesa Sanpaolo - Market Risk Management
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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, volatility surface, collateral, CSA discounting, no arbitrage, pricing, interest rate derivative
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management Carlicchi, Mattia
Intesa Sanpaolo - Market Risk Management
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| Posted: |
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14 Mar 11
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Last Revised:
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03 Apr 12
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732
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1
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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, volatility surface, collateral, CSA discounting, no arbitrage, pricing, interest rate derivative
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3.
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management
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31 Oct 11
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Last Revised:
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29 Oct 12
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362
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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, collateral, CSA- discounting, liquidity, funding, no arbitrage, pricing, interest rate derivatives, Deposit, FRA, Swap, OIS, Basis Swap
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4.
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Ametrano, Ferdinando
Banca IMI - Financial Engineering Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management
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18 Feb 13
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Last Revised:
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03 Apr 13
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287
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crisis, crunch, liquidity, funding, credit, counterparty risk, collateral, CSA, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, no-arbitrage, pricing, hedging, derivatives, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, spline, Greeks, sensitivity, QuantLib
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5.
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Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management Carlicchi, Mattia
Intesa Sanpaolo - Market Risk Management
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116
(121,352)
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crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, collateral, CSA discounting, no arbitrage, pricing, interest rate derivatives, FRA, swap, OIS, basis swap, CDS spread, ECB monetary policy, ISDA
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6.
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Ametrano, Ferdinando
Banca IMI - Financial Engineering Bianchetti, Marco
Intesa Sanpaolo - Market Risk Management
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02 Apr 09
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Last Revised:
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15 May 10
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Liquidity crisis, credit crunch, interest rates, yield curve, forward curve, discount curve, bootstrapping, pricing, hedging, interest rate derivatives, Deposit, FRA, Futures, Swap, Basis Swap, turn of year, spline, QuantLib
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Records 1 -
6
of 6 matches
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1
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