STIRs and OIS Futures in the Hull-White Model
| Year of publication: |
2019
|
|---|---|
| Authors: | Konikov, Michael |
| Publisher: |
[2019]: [S.l.] : SSRN |
| Description of contents: |
This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping
|
freely available
| Extent: | 1 Online-Ressource (8 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2019 erstellt |
| Other identifiers: | 10.2139/ssrn.3462583 [DOI] |
| Classification: | C1 - Econometric and Statistical Methods: General ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012861963