Imperial College London
Alternate

ProfessorDamianoBrigo

Faculty of Natural Sciences, Department of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo CV

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Brigo:2021:10.1080/14697688.2021.1983201,
author = {Brigo, D and Graceffa, F and Neumann, E},
doi = {10.1080/14697688.2021.1983201},
journal = {Quantitative Finance},
pages = {171--195},
title = {Price impact on term structure},
url = {http://dx.doi.org/10.1080/14697688.2021.1983201},
volume = {22},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We introduce a  rst theory of price impact in presence of an interest-rates termstructure. We explain how one can formulate instantaneous and transient price impacton zero-coupon bonds with di erent maturities, including a cross price impact that isendogenous to the term structure. We connect the introduced impact to classic noarbitrage theory for interest rate markets, showing that impact can be embedded in thepricing measure and that no-arbitrage can be preserved. We extend the price impactsetup to coupon-bearing bonds and further show how to implement price impact in aHJM framework. We present pricing examples in presence of price impact and numericalexamples of how impact changes the shape of the term structure. Finally, we show thatour approach is applicable by solving an optimal execution problem in interest ratemarkets with the type of price impact we developed in the paper.
AU  - Brigo,D
AU  - Graceffa,F
AU  - Neumann,E
DO  - 10.1080/14697688.2021.1983201
EP  - 195
PY  - 2021///
SN  - 1469-7688
SP  - 171
TI  - Price impact on term structure
T2  - Quantitative Finance
UR  - http://dx.doi.org/10.1080/14697688.2021.1983201
UR  - https://www.tandfonline.com/doi/full/10.1080/14697688.2021.1983201
UR  - http://hdl.handle.net/10044/1/91727
VL  - 22
ER  -
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