Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Work
Year: 2021
Type: article
Abstract: We analyze a class of stochastic differential games of singular control, motivated by the study of a dynamic model of interbank lending with benchmark rates. We describe Pareto optima for this game a... more
Source: Mathematical Finance
Authors Rama Cont, Xin Guo, Renyuan Xu
Institutions University of Oxford, University of California, Berkeley
Cites: 41
Cited by: 10
Related to: 10
FWCI: 1.785
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green