2 citations · 3 across the 5 of their papers we have counts for
4 papers · 1 filter
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…
The Multiplicative Chaos of Fractional Brownian Fields
Paul Hager, Eyal Neuman
We consider a family of fractional Brownian fields on , where denotes their Hurst parameter. We first define a rich class of normalizin…
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
Scaling Properties of a Moving Polymer
Carl Mueller, Eyal Neuman
We set up an SPDE model for a moving, weakly self-avoiding polymer with intrinsic length taking values in . Our main result states that the effective radius of the…