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Journal of futures markets. 2008;28(7):617-633. doi: 10.1002/fut.20330 Q22.32025

In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets

Russell Poskitt

DOI: 10.1002/fut.20330

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期刊名:Journal of futures markets

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ISSN:0270-7314

e-ISSN:1096-9934

IF/分区:2.3/Q2

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In search of the convexity adjustment: Evidence from the sterling futures and IMM FRA markets