File:FwdFutConvexity Brief New.pdf

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FwdFutConvexity_Brief_New.pdf ‎(0 × 0 pixels, file size: 417 KB, MIME type: application/pdf)

Summary

Description
We provide a straightforward calculation for the convexity adjustment of the forward on driftless asset using the Hull-White model for interest rate in the T-forward measure. Calculation in bond numeraire is also provided.
Source Own work
Date 2022-09-18 16:46:56
Author Ranjit
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