My Future is Not Convex

5 Pages Posted: 8 May 2012 Last revised: 9 May 2012

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

muRisQ Advisory; OpenGamma; University College London - Department of Mathematics

Date Written: May 8, 2012

Abstract

We propose a framework where interest rate futures pricing do not require convexity adjustment. The adjustment depends on the definition of curves and we build them in such a way that no adjustment is necessary. The framework is theoretically as acceptable as the standard (current) approach and may prove in some circumstances simpler to work with in practice.

Suggested Citation

Henrard, Marc P. A., My Future is Not Convex (May 8, 2012). Available at SSRN: https://ssrn.com/abstract=2053657 or http://dx.doi.org/10.2139/ssrn.2053657

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

Rue du Chemin de fer, 8
Brussels, 1210
Belgium

HOME PAGE: http://murisq.com

OpenGamma ( email )

Albert House
256-260 Old Street
London, EC1V 9DD
United Kingdom

University College London - Department of Mathematics ( email )

Gower Street
London, WC1E 6BT
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
322
Abstract Views
1,192
rank
91,722
PlumX Metrics