Report
Over-the-counter market models with several assets
| العنوان: | Over-the-counter market models with several assets |
|---|---|
| المؤلفون: | Bélanger, Alain, Giroux, Gaston, Moisan-Poisson, Miguel |
| سنة النشر: | 2013 |
| المجموعة: | Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Computational Finance, 34A34, 60G55, 82C31 |
| الوصف: | We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which investors trade with each other at these steady states. Finally, we study the stability of the solutions of these ODE's. Comment: 39 pages, 3 figures |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/1308.2957 |
| رقم الانضمام: | edsarx.1308.2957 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |