Andrei Lyashenko

Quantitative Risk Management, Inc.

181 W. Madison St

Chicago, IL 60602

United States

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 13,075

in Total Papers Downloads

5,078

SSRN CITATIONS
Rank 44,236

SSRN RANKINGS

Top 44,236

in Total Papers Citations

7

CROSSREF CITATIONS

9

Scholarly Papers (3)

1.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Andrei Lyashenko and Fabio Mercurio
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 4,466 (2,480)
Citation 16

Abstract:

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IBOR replacement, RFR, SOFR, LMM, market model, forward rates

2.

Looking Forward to Backward-Looking Rates: Completing the Generalized Forward Market Model

Number of pages: 22 Posted: 15 Nov 2019
Andrei Lyashenko and Fabio Mercurio
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 446

Abstract:

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IBOR replacement, LMM, HJM, markovianity, market model, forward rates

3.

The Curious Case of Backward Short Rates

Number of pages: 15 Posted: 20 Jan 2021 Last Revised: 16 Mar 2021
Andrei Lyashenko and Yutian Nie
Quantitative Risk Management, Inc. and Quantitative Risk Management, Inc.
Downloads 166 (219,842)

Abstract:

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IBOR Replacement, RFR, Short Rate Models, Backward-Looking Rates