2022/02/18 by Claudio Fontana, Fontana, Claudio · 2 citations
Economics, Econometrics and Finance · #60J25 #91G15 #91G20 #91G30 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2202.09116
openalex publication_date 2022/02/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks. We study a model for RFRs driven by a general affine process. Under minimal assumptions, we derive explicit valuation formulas for forward-looking and backward-looking caplets/floorlets, term-basis caplets as well as 1-month and 3-month RFR futures contracts.