Dynamic term structure models for SOFR futures

Author:

Skov Jacob Bjerre1ORCID,Skovmand David1ORCID

Affiliation:

1. Department of Mathematics University of Copenhagen Copenhagen Denmark

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference32 articles.

1. Alternative Reference Rate Committee. (2018). Second report.https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-Second-report

2. Alternative Reference Rate Committee. (2019). Users guide to SOFR.https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2019/Users_Guide_to_SOFR.pdf

3. Alternative Reference Rate Committee. (2020). Paced transition plan for SOFR.https://www.newyorkfed.org/medialibrary/microsites/arrc/files/paced-timeline-plan.pdf

4. Andersen L. B. G. &Bang D. R. A.(2020). Spike modeling for interest rate derivatives with an application to SOFR caplets.SSRN Electronic Journal.http://doi.org/10.2139/ssrn.3700446

5. Backwell A. Macrina A. Schlögl E. &Skovmand D.(2019). Tenor‐based interest rate term structures: Roll‐over risk perspective.SSRN Electronic Journal.http://doi.org/10.2139/ssrn.3399680

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