LIBOR Fallback and Quantitative Finance
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References listed on IDEAS
- Duffie, Darrell, 2018. "Compression Auctions With an Application to LIBOR-SOFR Swap Conversion," Research Papers 3727, Stanford University, Graduate School of Business.
- Marc Henrard, 2004. "Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model," Finance 0402008, University Library of Munich, Germany.
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Cited by:
- Andrea Macrina & David Skovmand, 2020. "Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks," Risks, MDPI, vol. 8(1), pages 1-18, March.
- Michele Azzone & Roberto Baviera, 2020. "Synthetic forwards and cost of funding in the equity derivative market," Papers 2011.03795, arXiv.org, revised Jan 2022.
- Jacob Bjerre Skov & David Skovmand, 2021. "Dynamic term structure models for SOFR futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1520-1544, October.
- Sander Willems, 2020. "SABR smiles for RFR caplets," Papers 2004.04501, arXiv.org, revised May 2020.
- Azzone, Michele & Baviera, Roberto, 2021. "Synthetic forwards and cost of funding in the equity derivative market," Finance Research Letters, Elsevier, vol. 41(C).
- Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org.
- Claudio Fontana & Zorana Grbac & Thorsten Schmidt, 2022. "Term structure modelling with overnight rates beyond stochastic continuity," Papers 2202.00929, arXiv.org, revised Aug 2023.
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Keywords
LIBOR fallback; derivative pricing; multi-curve framework; collateral; pay-off measurability; value transfer; ISDA consultations;All these keywords.
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