Jacob Bjerre Skov

University of Copenhagen

Nørregade 10

Copenhagen, København DK-1165

Denmark

  • University of Copenhagen

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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:

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