Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
Author:
Affiliation:
1. Bank of America, New York, USA
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2364800
Reference39 articles.
1. Markov models for commodity futures: Theory and practice;Andersen L.;Quant. Finance,2008
2. Andersen L. and Bang D. Spike modeling for interest rate derivatives with an application to SOFR caplets 2020. Available online at: https://ssrn.com/abstract=3700446.
3. Andersen L. and Lake M. High-performance applications of the non-uniform fast fourier transform to option pricing 2022. Available online at: https://ssrn.com/abstract=4335916.
4. Andersen, L. and Piterbarg, V., Interest Rate Modeling, 2010 (Atlantic Financial Press: New York & London).
5. ARRC ARRC formally recommends term SOFR 2021a. July Press Release. Available online at: https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/ARRC_Press_Release_Term_SOFR.pdf.
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