We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.
@article{arxiv.1411.7991,
title = {Existence and Uniqueness of a Steady State for an OTC Market with Several Assets},
author = {Alain Belanger and Ndoune Ndoune},
journal= {arXiv preprint arXiv:1411.7991},
year = {2016}
}
Comments
11 pages, 1 figure. arXiv admin note: text overlap with arXiv:1308.2957