Belanger, Alain; Giroux, Gaston; Ndoune, Ndoune - arXiv.org - 2014
We introduce and study three classes of over-the-counter markets specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie-G\^{a}rleanu-Pedersen, Over-the-Counter markets, Econometrica, 73 (2005). The key innovation is allowing for multiple assets. We compute the...