Financial markets revolutionize interest-rate modeling with multiple yield curves.
The article discusses how financial markets have changed after the recent crisis, leading to the need for multiple yield curves to describe interest rate products accurately. The researchers introduce a new framework called HJM based on a multi-curve approach and develop a bootstrapping algorithm to fit these curves to market prices. They show how this approach can be used to price various interest rate products effectively. The study concludes that using a multi-curve approach is essential for accurately pricing complex financial options in the market.