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arxiv: 1503.03006 · v1 · pith:SGY2LWMJnew · submitted 2015-03-10 · 💱 q-fin.MF

Some new results on Dufffie-type OTC markets

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The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a single, but general, interacting kernel which involves m components, for a fixed m >= 2. We then show how to retain the explicit formulas for the case of OTC market models where the dynamics is more directly described by two (or more) kernels.

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