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Size matters for OTC market makers: General results and dimensionality reduction techniques

Author

Listed:
  • Philippe Bergault

    (CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique - X - École polytechnique - CNRS - Centre National de la Recherche Scientifique)

  • Olivier Guéant

Abstract

No abstract is available for this item.

Suggested Citation

  • Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Post-Print hal-03885108, HAL.
    • Handle: RePEc:hal:journl:hal-03885108
    DOI: 10.1111/mafi.12286
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    Cited by:

    1. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
    2. Philippe Bergault & Olivier Gu'eant, 2023. "Modeling liquidity in corporate bond markets: applications to price adjustments," Papers 2309.04216, arXiv.org, revised Oct 2023.
    3. Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
    4. Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
    5. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

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