Jacob Bjerre Skov

University of Copenhagen

Nørregade 10

Copenhagen, København DK-1165

Denmark

SCHOLARLY PAPERS

1

DOWNLOADS

205

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Dynamic Term Structure Models for SOFR Futures

Number of pages: 28 Posted: 12 Nov 2020
Jacob Bjerre Skov and David Skovmand
University of Copenhagen and University of Copenhagen
Downloads 205 (173,103)

Abstract:

Loading...

SOFR, LIBOR, Futures, Arbitrage-Free Nelson-Siegel, Term Structure Models