Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model

6 Pages Posted: 3 Apr 2005

See all articles by Marc P. A. Henrard

Marc P. A. Henrard

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

Date Written: March 9, 2005

Abstract

In this note we give pricing formulas for different instruments linked to rate futures (euro-dollar futures). We provide the future price including the convexity adjustment and the exact dates. Based on that result we price options on futures, including the mid-curve options.

Keywords: Interest rate futures, options on futures, convexity adjustment, HJM one-factor model.

JEL Classification: G13, E43

Suggested Citation

Henrard, Marc P. A., Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model (March 9, 2005). Available at SSRN: https://ssrn.com/abstract=682343 or http://dx.doi.org/10.2139/ssrn.682343

Marc P. A. Henrard (Contact Author)

muRisQ Advisory ( email )

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OpenGamma ( email )

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University College London - Department of Mathematics ( email )

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London, WC1E 6BT
United Kingdom

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