SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Alan Brace, Karol Gellert, Erik Schlögl
| Year of publication: |
2024
|
|---|---|
| Authors: | Brace, Alan ; Gellert, Karol ; Schlögl, Erik |
| Subject: | interest rate futures | interest rate options | interest rates | SOFR | term structure modeling | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Volatilität | Volatility | Zins | Interest rate | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22499 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014536708