Zheng, Wendong; Kwok, Yue Kuen - In: Journal of Futures Markets 31 (2011) 7, pp. 659-678
Convexity correction arises when one computes the expected value of an interest rate index under a probability measure other than its own natural martingale measure. As a typical example, the natural martingale measure of the swap rate is the swap measure with annuity as the numeraire. However,...