Analytic Pricing of SOFR Futures Contracts with Smile and Skew

By Aurelio Romero-Bermúdez, Colin Turfus

Published 2024-04-15

Everscope rating

1363.8

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Perturbative formalism. Problem types: Derivatives Pricing, Time Series Modeling.

arXiv:2401.15728 · Paper rankings

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