Nick Gebbia

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

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Scholarly Papers (1)

1.

Option-Implied Libor Rate Expectations Across Currencies

FRB International Finance Discussion Paper No. 1182
Number of pages: 47 Posted: 18 Oct 2016
Nick Gebbia
Board of Governors of the Federal Reserve System
Downloads 48 (386,327)

Abstract:

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Options, Futures, Libor, Pdf, Distribution, Moments, Granger causality