3 papers
q-fin.GN2026
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…
q-fin.GN2025
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…
q-fin.TR2025
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…