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Paper / 1999SMQ / 15280871780429
Testing Affine Term Structure Models in Case of Transaction Costs
Driessen, J.J.A.G. / Melenberg, B. / Nijman, T.E.
interest rates / term structure modelsResource overview

Testing Affine Term Structure Models in Case of Transaction Costs

Paper1999

by Driessen, J.J.A.G., Melenberg, B., Nijman, T.E.

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interest ratesterm structure modelstransaction costs

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Suggested foundations for rates and fixed income and market microstructure and execution. Specialist prerequisites vary by paper.

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Market Impact

    Connect trading speed and size to execution cost.

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