3 citations · 3 across the 4 of their papers we have counts for
4 papers
Historical Reflections on Interest Rates and the Emergence of the Yield Curve
Olivier Guéant
This text grew out of a historical introduction initially written for a study of interest rates in cryptocurrency markets. The difficulty of defining a term structure for a currenc…
Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market
Philippe Bergault, Sébastien Bieber, Olivier Guéant +1
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are us…
Optimal Quoting under Adverse Selection and Price Reading
Alexander Barzykin, Philippe Bergault, Olivier Guéant +1
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from electronic platforms. In parallel, buildin…
Option pricing and hedging with execution costs and market impact
Olivier Guéant, Jiang Pu
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opp…