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Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role … for fast and efficient interest rate derivative pricing. Our methodology incorporates this method. The results obtained in …
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growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy …
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changes in the target rate during Central Bank's meetings into interest rate futures and option pricing. We calibrate the … overnight interest rate derivative market which is used by market participants to bet on future monetary decisions …
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We develop a novel contract design, the fed funds futures (FFF) variance futures, which reflects the expected realized basis point variance of an underlying FFF rate. The valuation of short-term FFF variance futures is completely model-independent in a general setting that includes the cases...
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