Rational savings account models for backward-looking interest rate benchmarks

HIGHLIGHTS

• who: Backward-Looking Interest Rate Benchmarks and collaborators from the Department of Mathematics, University College London, London WC E BT, UK have published the Article: Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks, in the Journal: (JOURNAL)
• what: The authors develop a new class of savings account models and derive a novel system specifically designed to facilitate a high degree of tractability for the pricing of RFR-based fixed-income instruments. The authors develop a class of discounting models that allows for closed-form pricing of derivatives written on a backward-looking benchmark . . .
  

   

  

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