Decomposing LIBOR in transition: evidence from the futures markets

DOI10.1080/14697688.2023.2205438zbMath1520.91394arXiv2201.06930OpenAlexW4377694090MaRDI QIDQ6166217

Unnamed Author, David Skovmand

Publication date: 2 August 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.06930

zbMATH Keywords

futuresLIBORSOFRfederal funds rateroll-over risk

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Related Items (1)

A stochastic control perspective on term structure models with roll-over risk

Cites Work

• A consistent stochastic model of the term structure of interest rates for multiple tenors
• Interest Rate Modeling: Post-Crisis Challenges and Approaches
• Credit Risk Modeling
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Derivatives in Theory and Practice
• Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads*

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