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convexity adjustment
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Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment
Applied Mathematics and Computation
◽
10.1016/j.amc.2020.125854
◽
2021
◽
Vol 395
◽
pp. 125854
Author(s):
Oscar López
◽
Gerardo Oleaga
◽
Alejandra Sánchez
Keyword(s):
Jump Diffusion
◽
Diffusion Models
◽
Markov Modulated
◽
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
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2021
◽
Author(s):
Jonathan Rosen
Keyword(s):
Derivative Pricing
◽
Market Model
◽
Forward Market
◽
Convexity Adjustment
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Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate
Theory of Probability and Mathematical Statistics
◽
10.1090/tpms/1089
◽
2020
◽
Vol 99
◽
pp. 189-198
Author(s):
N. O. Malykh
◽
I. S. Postevoy
Keyword(s):
Forward Rate
◽
Vasicek Model
◽
Libor Rate
◽
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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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
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Averaged Overnight Rate Futures: Convexity Adjustment
SSRN Electronic Journal
◽
10.2139/ssrn.3350745
◽
2019
◽
Author(s):
Jonathan Rosen
Keyword(s):
Convexity Adjustment
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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
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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)
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pp. 159-181
◽
Cited By ~ 3
Author(s):
Nikolaos Karouzakis
◽
John Hatgioannides
◽
Kostas Andriosopoulos
Keyword(s):
Convexity Adjustment
◽
Constant Maturity Swaps
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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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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
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