Fed funds futures variance futures

DOI10.1080/14697688.2016.1152391zbMATH Open1400.91588OpenAlexW3124621666MaRDI QIDQ4554512FDOQ4554512

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

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zbMATH Keywords

funding costsfed funds futuresunsecured interbank money market

Mathematics Subject Classification ID

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

Cites Work

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

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