2 papers
q-fin.MF2024
Analytic Pricing of SOFR Futures Contracts with Smile and Skew
Aurelio Romero-Bermúdez, Colin Turfus
We introduce a perturbative formalism to solve the backward-looking futures pricing problem. The formalism is based on a time-ordered exponential series which allows to derive the…
q-fin.MF2023
Analytic RFR Option Pricing with Smile and Skew
Colin Turfus, Aurelio Romero-Bermúdez
We extend the short rate model of Turfus and Romero-Bermúdez [2021] to facilitate accurate arbitrage-free analytic pricing of SOFR, SONIA or ESTR caplets, i.e. options on backward-…