Abstract
In fixed income markets the relevant underlyings are yield curves and there is basically one of those per currency. With the end of risk neutral pricing the use of single curve modelling has become more complicated since effects such as liquidity, funding costs, credit risk and collateral agreements can no longer be ignored. However, arguably, this complicates the nature of fixed income underlyings rather than creates new ones.
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© 2016 Oliver Brockhaus
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Brockhaus, O. (2016). Equity Derivatives Market. In: Equity Derivatives and Hybrids. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137349491_2
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DOI: https://doi.org/10.1057/9781137349491_2
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-55987-9
Online ISBN: 978-1-137-34949-1
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