Bond futures: Delivery Option with Term Structure Modelling
Delivery & Term Structure Modeling: The article expands a method for swap rate products to include futures, enabling the study of volatility and correlations on bond futures valuation and risk management.
Featured in No. 12 on 17 Aug 2023 · 2 days after release · 0 citations today
- Released
- 15 Aug 2023
- First featured
- No. 12 · 17 Aug 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4542275
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).