Fed funds futures variance futures

DOI10.1080/14697688.2016.1152391MaRDI QIDQ4554512zbMATH OpenOpenAlexFDO

Authors Damir Filipović, Anders B. Trolle

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1152391

zbMATH Keywords

funding costsfed funds futuresunsecured interbank money market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• MULTIVARIATE STABLE FUTURES PRICES
• Trade dynamics in the market for federal funds
• The multifactor nature of the volatility of futures markets
• Common volatility in major stock index futures markets
• VIX futures term structure and the expectations hypothesis
• Economic policy uncertainty and volatility of treasury futures

Cites work

• Swap rate variance swaps
• Term-structure models. A graduate course
• Trade dynamics in the market for federal funds

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