Convexity bias in Eurodollar futures prices: A dimension-free HJM criterion

DOI10.1007/S11009-008-9082-6zbMath1187.91221OpenAlexW2136813077MaRDI QIDQ1041301

Vladimir Pozdnyakov, J. Michael Steele

Publication date: 2 December 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9082-6

zbMATH Keywords

Heath-Jarrow-Morton modelforward rateEurodollar futuresconvexity biasfutures rate

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Cites Work

• Convexity bias in the pricing of Eurodollar swaps
• On the martingale framework for futures prices.
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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