Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition

Author:

Backwell AlexORCID,Hayes Joshua

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference31 articles.

1. A consistent stochastic model of the term structure of interest rates for multiple tenors;Alfeus;Journal of Economic Dynamics and Control,2020

2. Spike modeling for interest rate derivatives with an application to SOFR caplets;Andersen;Available at SSRN 3700446,2020

3. A theory of the term structure with an official short rate;Babbs;Financial Options Research Centre Working Paper, University of Warwick,1994

4. Term rates, multicurve term structures and overnight rate benchmarks: A roll-over risk approach;Backwell;Available at SSRN 3399680,2019

5. Bank of England,. https://www.bankofengland.co.uk/monetary-policy. Accessed in June 2021.

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