Optimal Pricing and Hedging of SOFR Derivatives

By Teemu Pennanen, Waleed Taoum

Published 2026-08-12

Everscope rating

1748.2

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Indifference Pricing with Convex Risk Measures. Problem types: Optimization, Risk Management, Portfolio Optimization, Derivative Pricing, Hedging.

arXiv:2608.10711 · Paper rankings

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