Jonathan Rosen

FINCAD Corporation

Central City, Suite 1750

13450 102nd Ave

Surrey, British Columbia V3T 5X3

Canada

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SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Averaged Overnight Rate Futures: Convexity Adjustment

Number of pages: 5 Posted: 15 Apr 2019
Jonathan Rosen
FINCAD Corporation
Downloads 2,070 (13,329)

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overnight, futures, average, convexity adjustment, sofr

2.

SOFR In-Advance Derivative Pricing: Convexity Adjustment in the Forward Market Model

Number of pages: 7 Posted: 13 Aug 2021
Jonathan Rosen
FINCAD Corporation
Downloads 1,243 (29,100)

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SOFR, LIBOR, Convexity, Swap, Cap, Caplet, SOFR Average, Interest Rates

3.

SOFR and €STR Discounting: Forward Convexity from Discount-Rate Transition

Number of pages: 5 Posted: 21 Nov 2019
Jonathan Rosen
FINCAD Corporation
Downloads 552 (86,835)

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SOFR, ESTR, €STR, discounting, PAI, convexity, discount, forward, curve, CME, LCH