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I'm a student and currently studying martingale optimal transport for deriving upper and lower contract bounds but i happen struggling on the fact that in most papers , interest rates are not taken in account. Formally one would expect that it can't be skipped , especially when working in a multi-curve framework with n-dimension rates derivatives. Does anyone know if the case of non nul interest rate has been investigated in MOT?

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  • $\begingroup$ Since the multi-curve framework is a fresh area of research, I doubt it has been combined with MOT theory yet. However, in a single-curve framework, the non-null interest rate case is straightforward. Assuming null interest rates boils down to working with discounted values directly, i.e. with asset prices normalised by the money market account value (MMA/MMA is always worth 1, which corresponds to a MMA with 0 interest rate). $\endgroup$ – siou0107 Jun 1 '20 at 14:09

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