The present of futures

Fabio Mercurio
02 Mar 2018

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Fabio Mercurio introduces a new multi-curve framework for pricing futures convexity adjustments. Forward Libors are assumed to follow a one-factor shifted-lognormal Libor market model, whereas overnight indexed swap (OIS) rates follow a general one-factor Cheyette model. The author derives explicit formulas for the adjustments, introducing the concept of minimal basis volatility modelling, and analyses

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The present of futures

Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments

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