A Quant Perspective on IBOR Fallback Proposals - Version 1.1

I have received numerous feedbacks on my "Quant Perspective on IBOR Fallback Proposals" document. I have updated the document and a version 1.1 is now available on SSRN: https://ssrn.com/abstract=3226183

Don't hesitate to contact me for discussion about the subject.

Convexity adjustment for Option 1: Spot Overnight Rate. See the note for the details.


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