Futures Convexity Adjustment with Continuously and Discretely Compounded Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2588439 ◽

2015 ◽

Author(s):

Christian Fenger

Keyword(s):

Convexity Adjustment

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Swapnote Futures Convexity Adjustment

SSRN Electronic Journal ◽

10.2139/ssrn.2591258 ◽

2015 ◽

Author(s):

Christian Fenger ◽

Ove Scavenius

Keyword(s):

Convexity Adjustment

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The Hull-White 1 Factor Convexity Adjustment and the Special Case when the Hull-White and Ho-Lee Models are Equivalent

SSRN Electronic Journal ◽

10.2139/ssrn.2592896 ◽

2015 ◽

Author(s):

Nicholas Burgess

Keyword(s):

Special Case ◽

Convexity Adjustment

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Inflation-Linked Delayed Payment Convexity Adjustment

SSRN Electronic Journal ◽

10.2139/ssrn.2725982 ◽

2016 ◽

Author(s):

Ryan McCrickerd ◽

Ivan Harkins

Keyword(s):

Convexity Adjustment

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Convexity Adjustments Made Easy - An Overview of Convexity Adjustment Methodologies in Interest Rate Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3325490 ◽

2019 ◽

Author(s):

Nicholas Burgess

Keyword(s):

Interest Rate ◽

Convexity Adjustment

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Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

SSRN Electronic Journal ◽

10.2139/ssrn.682343 ◽

2005 ◽

Author(s):

Marc P. A. Henrard

Keyword(s):

Factor Model ◽

Eurodollar Futures ◽

Futures And Options ◽

Convexity Adjustment

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Convexity adjustment for constant maturity swaps in a multi-curve framework

Annals of Operations Research ◽

10.1007/s10479-017-2430-6 ◽

2017 ◽

Vol 266 (1-2) ◽

pp. 159-181 ◽

Author(s):

Nikolaos Karouzakis ◽

John Hatgioannides ◽

Kostas Andriosopoulos

Keyword(s):

Convexity Adjustment ◽

Constant Maturity Swaps

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Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3401235 ◽

2019 ◽

Author(s):

Nicholas Burgess

Keyword(s):

Interest Rate ◽

Convexity Adjustment

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SOFR In-Advance Derivative Pricing: Convexity Adjustment in the Forward Market Model

SSRN Electronic Journal ◽

10.2139/ssrn.3903069 ◽

2021 ◽

Author(s):

Jonathan Rosen

Keyword(s):

Derivative Pricing ◽

Market Model ◽

Forward Market ◽

Convexity Adjustment

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In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets

Journal of Futures Markets ◽

10.1002/fut.20330 ◽

2008 ◽

Vol 28 (7) ◽

pp. 617-633

Author(s):

Russell Poskitt

Keyword(s):

Convexity Adjustment

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Convexity Adjustment

10.1007/springerreference_1116 ◽

2011 ◽

Keyword(s):

Convexity Adjustment

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