94 citations · 145 across the 20 of their papers we have counts for
Showing q-fin.STShow all
2 papers · 1 filter
q-fin.ST2025
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…
q-fin.ST2010
Reduced form models of bond portfolios
Matti Koivu, Teemu Pennanen
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios…