Vidya Kamate

Pricing of Interdealer OTC Derivatives in a Limit Order Market: Evidence From Indian OIS Trade‐Level Data

Using regulatory interdealer trade‐level data on overnight indexed swaps (OIS) in India, the paper examines the trading behavior and prices in an interdealer market populated by traders of varying liquidity needs. Inactive investors receive a lower return relative to active investors when trading outside a central li...