Size matters for OTC market makers: General results and dimensionality reduction techniques - Archive ouverte HAL
Article Dans Une Revue Mathematical Finance Année : 2021

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

Olivier Guéant

Dates et versions

hal-03885108 , version 1 (05-12-2022)

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Philippe Bergault, Olivier Guéant. Size matters for OTC market makers: General results and dimensionality reduction techniques. Mathematical Finance, 2021, 31 (1), pp.279-322. ⟨10.1111/mafi.12286⟩. ⟨hal-03885108⟩
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