Expected and unexpected jumps in the overnight rate : consistent management of the libor transition
Alex Backwell, Joshua Hayes
| Year of publication: |
2022
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|---|---|
| Authors: | Backwell, Alex ; Hayes, Joshua |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 145.2022, p. 1-23
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| Subject: | Benchmark reform | interest-rate jumps | interest-rate options | Libor transition | short-rate modelling | stochastic discontinuities | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Zins | Interest rate | Geldmarkt | Money market | Geldpolitik | Monetary policy | Stochastischer Prozess | Stochastic process | Systemtransformation | Economic transition |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2022.106669 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013538970