Over-the-counter market models with several assets

Autor:	Bélanger, Alain, Giroux, Gaston, Moisan-Poisson, Miguel
Rok vydání:	2013
Předmět:	Quantitative Finance - Computational Finance 34A34 60G55 82C31
Druh dokumentu:	Working Paper
Popis:	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
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1308.2957 Zobrazit plný text záznamu View this record from Arxiv