Explicit and semi-explicit formulae are obtained for swap futures within a HJM one factor model. The convexity correction due to margining is investigated and found to be (almost) worthless in most cases

Explicit formulae are obtained for pricing futures on average and compound interest rates within a HJM one factor model. A fast, accurate, approximation is obtained for futures on daily compounding rates

We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, which involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse...