英文标题：
《A General Framework for the Benchmark pricing in a Fully Collateralized
Market》
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作者：
Masaaki Fujii, Akihiko Takahashi
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
在后危机时期的市场中，每日保证金抵押已成为一种新的标准。虽然出现了大量关于所谓的多曲线框架的文献，但自我们最初尝试以来，很少能找到一个完整的跨货币基础的多货币体系。这项工作扩展了完全抵押市场中利率的一般框架。它给出了一个新的货币融资利差公式，该公式更适合一般依赖性。在上半年，它开发了一个具有固定期限结构的HJM框架的离散化，这使得它可以作为一个传统的市场模型来实现。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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