Price impact on term structure

DOI10.1080/14697688.2021.1983201zbMath1484.91494arXiv2011.10113OpenAlexW4205379089MaRDI QIDQ5068079

Eyal Neuman, Damiano Brigo, Federico Graceffa

Publication date: 5 April 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.10113

zbMATH Keywords

term structure modelsprice impactoptimal executioncross impactfixed-income market impactimpacted bond priceimpacted eurodollar futures priceimpacted risk-neutral measureimpacted yield curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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