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Price impact on term structure - MaRDI portal

Price impact on term structure (Q5068079)

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scientific article; zbMATH DE number 7503257
Language Label Description Also known as
English
Price impact on term structure
scientific article; zbMATH DE number 7503257

    Statements

    title
    Price impact on term structure (English)
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    author
    Damiano Brigo
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    Federico Graceffa
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    Eyal Neuman
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    publication date
    5 April 2022
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    zbMATH Keywords
    price impact
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    term structure models
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    fixed-income market impact
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    cross impact
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    impacted risk-neutral measure
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    impacted yield curve
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    optimal execution
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    impacted bond price
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    impacted eurodollar futures price
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    cites work
    Q4357644
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    Q5263525
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    Q2787919
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    Identifiers

    zbMATH DE Number
    7503257
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    OpenAlex ID
    W4205379089
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    arXiv ID
    2011.10113
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