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The Journal of Fixed Income

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The Transition from Interbank Offered Rates to Risk-Free Rates: Evolution in Pricing Models for Interest Rate Derivatives

Vincenzo Russo and Frank J. Fabozzi
The Journal of Fixed Income Spring 2023, jfi.2023.1.153; DOI: https://doi.org/10.3905/jfi.2023.1.153
Vincenzo Russo
is head of Group Life and Health Risk Capital Modelling at Generali in Milan, Italy
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Frank J. Fabozzi
is a professor of finance at EDHEC Business School, Nice, France
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Article Information

jfi.2023.1.153
DOI 
https://doi.org/10.3905/jfi.2023.1.153

Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online January 4, 2023.

Copyright & Usage 
© 2023 Pageant Media Ltd

Author Information

  1. Vincenzo Russo
    1. is head of Group Life and Health Risk Capital Modelling at Generali in Milan, Italy. (russovincent{at}gmail.com)
  2. Frank J. Fabozzi
    1. is a professor of finance at EDHEC Business School, Nice, France. (frank.fabozzi{at}edhec.edu)
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The Journal of Fixed Income: 32 (3)
The Journal of Fixed Income
Vol. 32, Issue 3
Winter 2023
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The Transition from Interbank Offered Rates to Risk-Free Rates: Evolution in Pricing Models for Interest Rate Derivatives
Vincenzo Russo, Frank J. Fabozzi
The Journal of Fixed Income Jan 2023, jfi.2023.1.153; DOI: 10.3905/jfi.2023.1.153

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The Transition from Interbank Offered Rates to Risk-Free Rates: Evolution in Pricing Models for Interest Rate Derivatives
Vincenzo Russo, Frank J. Fabozzi
The Journal of Fixed Income Jan 2023, jfi.2023.1.153; DOI: 10.3905/jfi.2023.1.153
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  • Article
    • Abstract
    • FROM LIBOR TO RFRS: FORWARD-LOOKING VERSUS BACKWARD-LOOKING RATES
    • BASIC ASSUMPTIONS AND DEFINITIONS
    • LIBOR RATES: FORWARD-LOOKING APPROACH
    • RFRS: BACKWARD-LOOKING APPROACH
    • PRICING OF PLAIN-VANILLA INTEREST RATE DERIVATIVES
    • CONCLUSIONS
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
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