Existence and Uniqueness of a Steady State for an OTC Market with Several Assets

Published 28 Nov 2014 in q-fin.MF | (1411.7991v2)

Abstract: 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.

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