Tag Info

New answers tagged

0

Glasserman on pg 166 has a very accessible introduction to LMM under spot and forward measures


0

The list will differ depending on your brokerage relationship. Not every broker's hard-to-borrow list will be the same. And you may be able to use 3rd party relationships purely for locates (finding hard-to-borrows). Your liquidity requirements look reasonable. I'm just going to pull a number out of the air (although I see it, this isn't something I track) ...


2

You need to read papers about market impact. You will find a lot of information about transaction costs. Two recent ones: Market impacts and the life cycle of investors orders, by Emmanuel Bacry, Adrian Iuga, Matthieu Lasnier, CAL Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate, by Elia Zarinelli, ...


0

First, it's not true that a market sector is cheap whenever the forward curve lies above the par curve. In fact, whenever the yield curve is upward sloping, the forward curve will always lie above the par curve. Conversely, when the yield curve is downward sloping, forwards will always lie beneath the par curve. In the example you quoted, Ilmanen chose a day ...



Top 50 recent answers are included