The present of futures

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


You can listen to Fabio Mercurio talking about this feature here.

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

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: