Joshua Hayes

Fairtree Capital

Newlands

Cape Town, 7700

South Africa

University of Cape Town

Rondebosch

Cape Town, Western Cape 7700

South Africa

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Ideas:
“  Interest rates, credit, and derivatives of both.  ”

Scholarly Papers (1)

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Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition

Number of pages: 52 Posted: 20 Dec 2021 Last Revised: 24 Mar 2022
Alex Backwell and Joshua Hayes
University of Cape Town and Fairtree Capital
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Abstract:

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Benchmark reform; Libor transition; interest-rate jumps; short-rate modelling; stochastic discontinuities; interest-rate options.