Interbank lending with benchmark rates: Pareto optima for a class of singular control games

Author:

Cont Rama1,Guo Xin2,Xu Renyuan1ORCID

Affiliation:

1. Mathematical Institute University of Oxford Oxford UK

2. Department of Industrial Engineering and Operations Research University of California Berkeley California USA

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference45 articles.

1. Aïd R. Basei M. &Pham H.(2017).The coordination of centralised and distributed generation.arXiv preprint arXiv:1705.01302.

2. Avellaneda M. &Cont R.(2010).Transparency in over‐the‐counter interest rate derivatives markets. Report Finance Concepts.

3. The simple analytics of welfare maximization;Bator F. M;The American Economic Review,1957

4. Some solvable stochastic control problems;Beneš V. E.;Stochastics: An International Journal of Probability and Stochastic Processes,1980

5. Impulse control with random reaction periods: A central bank intervention problem

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