Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market
Fuente:
arXiv
Salvato in:
| Autori principali: | , , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2025
|
| Soggetti: | |
| Accesso online: | |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866917150044717056 |
|---|---|
| author | Bergault, Philippe Bieber, Sébastien Guéant, Olivier Zhang, Wenkai |
| author_facet | Bergault, Philippe Bieber, Sébastien Guéant, Olivier Zhang, Wenkai |
| contents | In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount future cash flows, and price financial products. Yield curves, however, can be readily computed only because of the current size and structure of bond markets. In cryptocurrency markets, where fixed-rate lending and bonds are almost nonexistent as of early 2025, the yield curve associated with each currency must be estimated by other means. In this paper, we show how mathematical tools can be used to construct yield curves for cryptocurrencies by leveraging data from the highly developed markets for cryptocurrency derivatives. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_03964 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market Bergault, Philippe Bieber, Sébastien Guéant, Olivier Zhang, Wenkai General Finance In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount future cash flows, and price financial products. Yield curves, however, can be readily computed only because of the current size and structure of bond markets. In cryptocurrency markets, where fixed-rate lending and bonds are almost nonexistent as of early 2025, the yield curve associated with each currency must be estimated by other means. In this paper, we show how mathematical tools can be used to construct yield curves for cryptocurrencies by leveraging data from the highly developed markets for cryptocurrency derivatives. |
| title | Cryptocurrencies and Interest Rates: Inferring Yield Curves in a Bondless Market |
| topic | General Finance |
| url | https://arxiv.org/abs/2509.03964 |