The present of futures

Fabio Mercurio
02 Mar 2018

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO VIEW THE PDF

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]