论文标题
价格对期限结构的影响
Price Impact on Term Structure
论文作者
论文摘要
我们在存在利率期限结构的情况下引入了第一个价格影响理论。我们解释了一个人如何制定瞬时和瞬态价格对具有不同到期债券的债券的影响，包括对术语结构内源性的交叉价格影响。我们将引入的影响与经典的无容易屈服理论联系起来，这表明影响可以嵌入定价措施中，并且可以保留无契约。我们在存在价格影响的情况下提出了定价示例，以及如何影响影响术语结构的形状的数值示例。最后，为了证明我们的方法是适用的，我们解决了利率市场中的最佳执行问题，并在本文中开发的价格影响类型。
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that is endogenous to the term structure. We connect the introduced impact to classic no-arbitrage theory for interest rate markets, showing that impact can be embedded in the pricing measure and that no-arbitrage can be preserved. We present pricing examples in presence of price impact and numerical examples of how impact changes the shape of the term structure. Finally, to show that our approach is applicable we solve an optimal execution problem in interest rate markets with the type of price impact we developed in the paper.
