Exact and approximate optimal quoting strategies for bond dealers are derived under a hit-ratio target using separable HJB equations and Riccati approximations.
Gu´ eant,The Financial Mathematics of Market Liquidity: From optimal execution to market making, Chapman and Hall/CRC: Boca Raton, FL
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Bond Market Making with a Hit-Ratio Target
Exact and approximate optimal quoting strategies for bond dealers are derived under a hit-ratio target using separable HJB equations and Riccati approximations.