#2003-040D "Year-End Seasonality in One-Month LIBOR Derivatives"
by Christopher J. Neely, and Drew B. Winters
November 2003
Revised October 2005

We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase appears in forward rates and derivative prices, which allows the derivatives to properly hedge year-end interest rate risk. More...

PUBLISHED: Journal of Derivatives, Spring 2006, 13(3), pp. 47-65