2 papers
q-fin.PR2026
Optimal Pricing and Hedging of SOFR Derivatives
Teemu Pennanen, Waleed Taoum
Thousands of SOFR derivatives are available in exchanges and OTC, but the market remains illiquid and incomplete. Such a market is beyond the scope of classic risk-neutral approach…
q-fin.ST2026
Statistical modeling of SOFR term structure
Teemu Pennanen, Waleed Taoum
SOFR derivatives market remains illiquid and incomplete so it is not amenable to classical risk-neutral term structure models which are based on the assumption of perfect liquidity…