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Found 3 papers, 1 papers with code
Decomposing LIBOR in Transition: Evidence from the Futures Markets
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates.
Dynamic Term Structure Models for SOFR Futures
We also find that the jumps and seasonal effects observed in SOFR, do not need to be specifically accounted for in a model for the futures prices.
Rational Models for Inflation-Linked Derivatives
We construct models for the pricing and risk management of inflation-linked derivatives.
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