Xi Liu

FactSet Research Systems Inc.

181 W Madison St

33rd Floor

Chicago, IL 60602

United States

SCHOLARLY PAPERS

2

DOWNLOADS

273

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Forward-looking Forward Rates: An Indicative SOFR Paradox

Number of pages: 16 Posted: 29 Jan 2021 Last Revised: 23 Mar 2021
Xi Liu and Yudi Bai
FactSet Research Systems Inc. and FactSet Research Systems Inc.
Downloads 224 (161,842)

Abstract:

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IBOR replacement, RFR, SOFR, Benchmark Reform, Yield Curves, Futures, Swaps, Hedging

2.

Convertible Bond Arbitrage and the Term Structure of Volatility

Number of pages: 27 Posted: 24 Jan 2021
FactSet, FactSet, FactSet Research Systems Inc. and FactSet Research Systems Inc.
Downloads 49 (461,959)

Abstract:

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Convertible Bond Arbitrage; Implied Volatility Term Structure; Long Vega; Long Omicron.