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What is Price Impact in Interest Rate Term Structure about?

The document presents a novel theory of price impact within the context of interest rate term structures, detailing how both instantaneous and transient price impacts can affect bonds of varying maturities. It connects these impacts to no-arbitrage pricing theory, demonstrating that price impact can be incorporated into the pricing measure while maintaining no-arbitrage conditions. The paper also explores optimal execution problems in interest rate markets, providing numerical examples and applications of t

Author

xhuslmvydknpylzkov

Language

EN