Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate

DOI10.1090/TPMS/1089zbMath1454.91319OpenAlexW3009983043MaRDI QIDQ5218388

I. S. Postevoy, N. O. Malykh

Publication date: 3 March 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1089

zbMATH Keywords

forward rate agreementconvexity adjustmentiFRAin-arrears LIBORno-arbitrage marketVašíček model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Mathematical foundation of convexity correction
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Interest Rates
• An equilibrium characterization of the term structure

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