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q-fin.GN2025
Where Are the Rates? Derivative-Implied Interest Rates in Cryptocurrency Markets
Philippe Bergault, Sébastien Bieber, Olivier Guéant +1
In traditional finance, liquid markets for bonds, interest rate swaps, and other interest rate derivatives provide a basis for constructing yield curves. In the cryptocurrency ecos…
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…