Analytic Pricing of SOFR Futures Contracts with Smile and Skew
By Aurelio Romero-Bermúdez, Colin Turfus
Rating
1355
Battle Count: 62
Relevance
8/10
Highly relevant for fixed income trading and risk management, especially in the transition from LIBOR to SOFR
Implementation Complexity
7/10
Requires advanced mathematical knowledge and numerical implementation skills
Reproducibility
4/5
Detailed mathematical derivations provided, but no code repository mentioned
About this paper
Methodology: Perturbative formalism. Problem types: Derivatives Pricing, Time Series Modeling.
The interactive Everscope explorer (charts, battles, favorites) loads below.