Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate

2020 ◽  
Vol 99 ◽  
pp. 189-198
Author(s):  
N. O. Malykh ◽  
I. S. Postevoy
Keyword(s):  
Forward Rate ◽  
Vasicek Model ◽  
Libor Rate ◽  
Convexity Adjustment

PCA of Covariance Matrix of Historical Forward Rate Changes

2003 ◽  
Author(s):  
Mayank Chamadia
Keyword(s):  
Covariance Matrix ◽  
Forward Rate

Swapnote Futures Convexity Adjustment

2015 ◽  
Author(s):  
Christian Fenger ◽  
Ove Scavenius
Keyword(s):  
Convexity Adjustment

Inflation-Linked Delayed Payment Convexity Adjustment

2016 ◽  
Author(s):  
Ryan McCrickerd ◽  
Ivan Harkins
Keyword(s):  
Convexity Adjustment

The Effect of p-Toluidine on the Two-Step Electroreduction of Zn(II) in Water-Methanol and Water-Dimethylformamide

1999 ◽  
Vol 64 (4) ◽  
pp. 585-594 ◽  
Author(s):  
Barbara Marczewska
Keyword(s):  
Electron Transfer ◽  
Binary Mixtures ◽  
Rate Constant ◽  
Rate Constants ◽  
Electrode Surface ◽  
Mercury Electrode ◽  
Forward Rate ◽  
Solvent Molecules ◽  
Activated Complex

The acceleration effect of p-toluidine on the electroreduction of Zn(II) on the mercury electrode surface in binary mixtures water-methanol and water-dimethylformamide is discussed. The obtained apparent and true forward rate constants of Zn(II) reduction indicate that the rate constant of the first electron transfer increases in the presence of p-toluidine. The acceleration effect may probably be accounted for by the concept of the formation on the mercury electrode an activated complex, presumably composed of p-toluidine and solvent molecules.

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