Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion (Q1041301)
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scientific article; zbMATH DE number 5641459
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion |
scientific article; zbMATH DE number 5641459 |
Statements
Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion (English)
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2 December 2009
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Heath-Jarrow-Morton model
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Eurodollar futures
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convexity bias
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futures rate
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forward rate
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0.91649866
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0.90970516
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0.8532628
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0.8416047
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0.8317446
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0.8266818
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0.82519597
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