Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
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Papers
1105.3115, arXiv.org, revised Aug 2012.
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- Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252557, HAL.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2022-01-24 (Financial Markets)
- NEP-MST-2022-01-24 (Market Microstructure)
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