Andrei Lyashenko

Quantitative Risk Management, Inc.

181 W. Madison St

Chicago, IL 60602

United States

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 24,823

SSRN RANKINGS

Top 24,823

in Total Papers Downloads

2,250

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (2)

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 2,104 (7,490)
Citation 8

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 146

Abstract:

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