The recent financial crisis has spiked the credit and liquidity premia among financial
products, and significant widening of basis spreads among Libors with different
tenors and currencies has been observed in interest rate markets. Our previous work,
"A Note on Construction of Multiple Swap Curves with and without Collateral" has
developed an arbitrage-free curve construction method with all the relevant spreads
taken into account. This short note carries out a brief survey on the existing analysis
of spreads' dynamics and pricing models as a preparation for the development of a
model that enables us to price and hedge generic financial derivatives under the new
market condition.
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