Interest Rate Futures and Convexity Adjustment

Description

This lecture covers interest rate futures, including the futures rate formula and marking to market process. It also explains the convexity adjustment in Gaussian HJM models and provides an example using the Vasiček model.

In MOOC

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_hgijlv6h

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

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