Now LCH Have Converted Your USD Swaps too!
As recently as January I posed the question: That blog was written in response to the fact that 2022 continued to see plenty of USD LIBOR risk sent to CCPs. Could all of that trading just stop in time for the final cessation of USD LIBOR in June 2023? Following on from the recent CME […]
HJM-FMM Model – A Deep Dive
Authored by, Serena Manti and Gianluca Molteni of the Financial Engineering and A.I. team at List. This is the follow-up of our first post introducing the paper “Parsimonious HJM-FMM Model with the New Risk-Free Term Rates“. Here, we would like to provide you with a brief more technical description of our innovative HJM-FMM model, followed by […]