In this paper we revisit the problem of pricing and hedging plain vanilla single currency interest rate derivatives using different yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors (e. g. Euribor 3 months, 6 months,.etc.).
<meaning-changed> In this paper we revisit the problem of pricing and hedging plain vanilla single currency interest rate derivatives using different yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors (e. g. Euribor 3 months, 6 months,.etc.).
In this paper we revisit the problem of pricing and hedging plain vanilla single currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors (e. g. Euribor 3 months, 6 months,.etc.).