Swap Markets Post-LIBOR/EURIBOR

Graduate School of Business (GSB) Stanford

Darrell Duffie

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Prof Darrell Duffie of the Graduate School of Business (GSB) at Stanford University proposes a solution for interest rate derivatives contracts when LIBOR/EURIBOR benchmark rates seize to exist at the end of 2021. Related publications:

https://www.darrellduffie.com/uploads/policy/Duffie-Conversion-Auction-Notes-2017.pdf

https://www.darrellduffie.com/uploads/policy/Duffie-Slides-Conversion-Auction-2017.pdf

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