5 citations · 15 across the 11 of their papers we have counts for
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q-fin.ST2015★ 5 cited
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms
Jean-David Fermanian, Olivier Guéant, Jiang Pu
For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to…
math.OC2015
Dynamic Programming Principle and Associated Hamilton-Jacobi-Bellman Equation for Stochastic Recursive Control Problem with Non-Lipschitz Aggregator
Jiangyan Pu, Qi Zhang
In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the runnin…