3 papers
math.DS2021
Common noise pullback attractors for stochastic dynamical systems
Federico Graceffa, Jeroen S. W. Lamb
We consider SDEs driven by two different sources of additive noise, which we refer to as intrinsic and common. We establish almost sure existence and uniqueness of pullback attract…
q-fin.TR2020
Price Impact on Term Structure
Damiano Brigo, Federico Graceffa, Eyal Neuman
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…
q-fin.MF2019
On the consistency of jump-diffusion dynamics for FX rates under inversion
Federico Graceffa, Damiano Brigo, Andrea Pallavicini
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given…