Options on overnight futures

Author:

Henrard Marc P. A.

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference9 articles.

1. Pring interest rate futures options with futuresstyle margining;R.-R Chen;The Journal of Futures Market,1993

2. A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies;M Fujii;Wilmott Magazine,2011

3. Overnight Indexed Swaps and Floored Compounded Instrument in HJM one-factor model;M Henrard;Ewp-fin 0402008, Economics Working Paper Archive,2004

4. Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options;M Henrard;The Journal of Risk,2007

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