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

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

Marc Henrard2005

OA

Preprintgreen2005

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

22 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1997Martingale Methods in Financial Modelling 2004Financial Derivatives in Theory and Practice 2002Modern Pricing of Interest-Rate Derivatives The LIBOR Market Model and Beyond 2004Chaos and coherence: a new framework for interest–rate modelling 2006Eurodollar futures convexity adjustments in stochastic volatility models

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2013Multi-Curves Framework with Stochastic Spread: A Coherent Approach to STIR Futures and Their Options

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.682343

openalex_workW1862823561

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