Consistent Valuation Across Curves using Pricing Kernels


The general problem of valuation when discount rates differ from an asset's cash flow accrual rate is considered. A pricing kernel framework models an economy segmented into distinct markets, identified by a yield curve having... [ view full abstract ]


  1. Obeid Mahomed (University of Cape)
  2. Andrea Macrina (University College London)

Topic Areas

Arbitrage Theory , Interest Rates , Term-Structure Models


WE-A-UI » Hedging: From Theory to Practice (11:30 - Wednesday, 18th July, Ui Chadhain)

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