STIRs and OIS Futures in the Hull-White Model

This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.

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Author: Dr. Michael Konikov, Senior Vice President and Head of Quantitative Development

Dr. Michael Konikov is a Senior Vice President and Head of Quantitative Development at Numerix, where he manages a team responsible for the development and delivery of models in Numerix software.  Previously, he worked at Citigroup, Barclays, and Bloomberg in quantitative research and desk quant roles.  He completed his PhD in mathematical finance at the University of Maryland College Park, concentrating, in particular, on the application of pure jump processes to option pricing.  Dr. Konikov's publications cover diverse asset classes ranging from equity to interest rates and credit. He has been published four technical articles in RISK Magazine on interest rate modeling, SABR model, and algorithmic differentiation for PV and XVA Greeks. Dr. Konikov is also co-author of the upcoming book Alexandre Antonov, Michael Konikov, Michael Spector “Modern SABR Analytics,” Springer (2019).

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