ScienceGate
Advanced Search
Author Search
Journal Finder
Blog
Sign in / Sign up
ScienceGate
Search
Author Search
Journal Finder
Blog
Sign in / Sign up
Overnight Futures: Convexity Adjustment
SSRN Electronic Journal
◽
10.2139/ssrn.3134346
◽
2018
◽
Cited By ~ 5
Author(s):
Marc P. A. Henrard
Keyword(s):
Convexity Adjustment
Download Full-text
Related Documents
Cited By
References
Futures Convexity Adjustment with Continuously and Discretely Compounded Rates
SSRN Electronic Journal
◽
10.2139/ssrn.2588439
◽
2015
◽
Cited By ~ 1
Author(s):
Christian Fenger
Keyword(s):
Convexity Adjustment
Download Full-text
Swapnote Futures Convexity Adjustment
SSRN Electronic Journal
◽
10.2139/ssrn.2591258
◽
2015
◽
Author(s):
Christian Fenger
◽
Ove Scavenius
Keyword(s):
Convexity Adjustment
Download Full-text
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
Download Full-text
Inflation-Linked Delayed Payment Convexity Adjustment
SSRN Electronic Journal
◽
10.2139/ssrn.2725982
◽
2016
◽
Author(s):
Ryan McCrickerd
◽
Ivan Harkins
Keyword(s):
Convexity Adjustment
Download Full-text
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
Download Full-text
Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model
SSRN Electronic Journal
◽
10.2139/ssrn.682343
◽
2005
◽
Cited By ~ 14
Author(s):
Marc P. A. Henrard
Keyword(s):
Factor Model
◽
Eurodollar Futures
◽
Futures And Options
◽
Convexity Adjustment
Download Full-text
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
◽
Cited By ~ 3
Author(s):
Nikolaos Karouzakis
◽
John Hatgioannides
◽
Kostas Andriosopoulos
Keyword(s):
Convexity Adjustment
◽
Constant Maturity Swaps
Download Full-text
Convexity Adjustments Made Easy - A Review of Convexity Adjustment Methodologies and Formulae in Interest Rate Markets
SSRN Electronic Journal
◽
10.2139/ssrn.3401235
◽
2019
◽
Cited By ~ 1
Author(s):
Nicholas Burgess
Keyword(s):
Interest Rate
◽
Convexity Adjustment
Download Full-text
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
Download Full-text
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
Download Full-text
Sign in / Sign up
Close
Export Citation Format
Close
Share Document
Close