Works matching DE "SOFR"
Results: 14
Indian Financial System's Readiness for LIBOR-to-SOFR Transition: An Analytical Study.
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- South Asian Journal of Management, 2024, v. 31, n. 5, p. 121, doi. 10.62206/sajm.31.5.2024.121-149
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- Article
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets.
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- Quantitative Finance, 2024, v. 24, n. 8, p. 1017, doi. 10.1080/14697688.2024.2364800
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- Article
The search for a new reference rate.
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- Review of Quantitative Finance & Accounting, 2022, v. 58, n. 3, p. 939, doi. 10.1007/s11156-021-01014-y
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- Article
The Great LIBOR Exodus: Analytical Implications and SOFR Transition Challenges.
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- Journal of Derivatives, 2024, v. 32, n. 1, p. 64, doi. 10.3905/jod.2024.1.208
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- Article
Inferring the Implied Volatility of SOFR-Based Swaptions.
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- Journal of Derivatives, 2024, v. 31, n. 4, p. 157, doi. 10.3905/jod.2024.1.201
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- Article
SOFR Term Rates from Treasury Repo Pricing.
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- Journal of Derivatives, 2022, v. 29, n. 5, p. 83, doi. 10.3905/jod.2022.1.153
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Untitled.
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- Journal of Derivatives, 2022, v. 29, n. 5, p. 1, doi. 10.3905/jod.2022.29.5.001
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- Article
Interest rate swaps: a comparison of compounded daily versus discrete reference rates.
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- Review of Derivatives Research, 2023, v. 26, n. 1, p. 1, doi. 10.1007/s11147-022-09191-1
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- Article
TRANSICIÓN DE LIBOR A SOFR: ¿ES LA SOFR REALMENTE UNA TASA SECURED? DESAFÍOS EN LOS MERCADOS FINANCIEROS INTERNACIONALES.
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- Revista Chilena de Derecho Privado, 2024, n. 43, p. 9, doi. 10.32995/S0718-80722024773
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LIBOR to SOFR Transition: The Journey Has Begun.
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- Vinimaya, 2021, v. 42, n. 3, p. 32
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The Changing of the Guard (LIBOR to SOFR) and How Both Insurers and Regulators are Responding.
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- Journal of Insurance Regulation, 2021, v. 40, n. 5, p. 1
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- Article
How Do Alternatives to LIBOR Measure Up?
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- Journal of Fixed Income, 2024, v. 33, n. 4, p. 45, doi. 10.3905/jfi.2023.1.170
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- Article
TERM STRUCTURE MODELING OF SOFR: EVALUATING THE IMPORTANCE OF SCHEDULED JUMPS.
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- International Journal of Theoretical & Applied Finance, 2024, v. 27, n. 2, p. 1, doi. 10.1142/S0219024924500092
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- Article
Interest Received by Banks during the Financial Crisis: LIBOR vs Hypothetical SOFR Loans.
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- Journal of Financial Services Research, 2024, v. 65, n. 2/3, p. 141, doi. 10.1007/s10693-023-00415-5
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- Article