Abstract

Citations (1)

Beta

One-Click Download | Share | Email | Add to Briefcase

Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models

Vladimir Piterbarg
Barclays Capital

Marco Renedo
Bank of America - Quantitative Research

February 4, 2004

Abstract:
A formula that explicitly incorporates volatility smile, as well as a realistic correlation structure of forward rates, in computing Eurodollar futures convexity adjustments is derived. The effect of volatility smile on convexity adjustments is studied and is found significant.

Keywords: Eurodollar convexity adjustment, stochastic volatility, volatility smile, forward Libor models

Working Paper Series

Date posted: October 28, 2004 ; Last revised: November 11, 2004

Suggested Citation

Piterbarg, Vladimir and Renedo, Marco Antonio, Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models (February 4, 2004). Available at SSRN: http://ssrn.com/abstract=610223

Export to: Export Citation What's this?

Contact Information

Vladimir Piterbarg (Contact Author) Barclays Capital ( email ) London EC3P 3AH United Kingdom
Marco Antonio Renedo Bank of America - Quantitative Research ( email ) 233 South Wacker Drive, Suite 2800 Chicago, IL 60606 United States

Feedback to SSRN (Beta)

Paper statistics

Abstract Views: 6,964
Downloads: 2,697
Download Rank: 852

Citations:

People who downloaded
this paper also downloaded:

1. A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models
By Vladimir Piterbarg

2. A Stochastic Volatility Forward Libor Model with a Term Structure of Volatility Smiles
By Vladimir Piterbarg

3. A Multi-currency Model with FX Volatility Skew
By Vladimir Piterbarg

More >

Abstract

Citations (1)

Date posted: October 28, 2004 ; Last revised: November 11, 2004

Suggested Citation

Contact Information

Vladimir Piterbarg (Contact Author)

Marco Antonio Renedo