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ZENODO
Presentation . 2023
License: CC BY
Data sources: Datacite
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
ZENODO
Presentation . 2023
License: CC BY
Data sources: Datacite
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Futures Fair Value Adjustment

descriptionPublicationkeyboard_double_arrow_right Presentation 11 Jan 2023 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7526406 , 10.5281/zenodo.7526407

Futures Fair Value Adjustment

Abstract

A modified calculation approach is presented for the fair value of an equity index futures contract. The modified calculation takes into account the funding required to support the tail hedge that was not considered previously.

https://ia904705.us.archive.org/35/items/cms-convexity-adj/CmsConvexityAdj.pdf

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Futures Fair Value Adjustment

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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