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 ◽

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) ◽

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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