Aigner, J. (2017). Different approaches for pricing derivatives in a multi-curve framework [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2017.40555
About ten years after the financial crisis, the awareness of counterparty credit risk still influences derivatives markets in terms of pricing. This thesis presents the impact on pricing derivatives using different valuation curves. Especially, the correct discounting curve should be chosen corresponding to the funding costs of a financial institution and is not necessarily the same as the curve used to calculate forward rates. Furthermore, different curve construction approaches in a multi-curve world are introduced.