SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Year of publication: |
2024
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Authors: | Brace, Alan ; Gellert, Karol ; Schlögl, Erik |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 6, p. 936-985
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Subject: | interest rate futures | interest rate options | interest rates | SOFR | term structure modeling | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
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