Dynamic term structure models for SOFR futures
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DOI: 10.1002/fut.22246
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Citations
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Cited by:
- David Skovmand & Jacob Bjerre Skov, 2022. "Decomposing LIBOR in Transition: Evidence from the Futures Markets," Papers 2201.06930, arXiv.org, revised Mar 2022.
- Backwell, Alex & Hayes, Joshua, 2022. "Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition," Journal of Banking & Finance, Elsevier, vol. 145(C).
- Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
- Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org, revised Nov 2024.
- Fred Espen Benth & Nils Detering & Luca Galimberti, 2022. "Pricing options on flow forwards by neural networks in Hilbert space," Papers 2202.11606, 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.
- Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
- Alan Brace & Karol Gellert & Erik Schlögl, 2024. "SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 936-985, June.
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