عنوان

Dynamic Markov bridges and market microstructure :

(Number (ISBN

1493988344

(Number (ISBN

1493988352

(Number (ISBN

9781493988341

(Number (ISBN

9781493988358

Erroneous ISBN

1493988336

Erroneous ISBN

9781493988334

Title Proper

Dynamic Markov bridges and market microstructure :

General Material Designation

[Book]

Other Title Information

theory and applications /

First Statement of Responsibility

Umut Çetin, Albina Danilova.

Place of Publication, Distribution, etc.

New York, NY, U.S.A. :

Name of Publisher, Distributor, etc.

Springer,

Date of Publication, Distribution, etc.

[2018]

Specific Material Designation and Extent of Item

1 online resource

Series Title

Probability theory and stochastic modelling,

Volume Designation

volume 90

ISSN of Series

2199-3130 ;

Text of Note

Includes bibliographical references and index.

Text of Note

Markov processes -- Stochastic Differential Equations and Martingale Problems -- Stochastic Filtering -- Static Markov Bridges and Enlargement of Filtrations -- Dynamic Bridges -- Financial markets with informational asymmetries and equilibrium -- Kyle-Back model with dynamic information: no default case -- Appendix A.

0

Text of Note

This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory and real-world applications to drive home important concepts and methodologies. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes, and their interplay. Part II is devoted to the applications of the theory developed in Part I to asymmetric information models among financial agents, which include a strategic risk-neutral insider who possesses a private signal concerning the future value of the traded asset, non-strategic noise traders, and competitive risk-neutral market makers. A thorough analysis of optimality conditions for risk-neutral insiders is provided and the implications on equilibrium of non-Gaussian extensions are discussed. A Markov bridge, first considered by Paul Lévy in the context of Brownian motion, is a mathematical system that undergoes changes in value from one state to another when the initial and final states are fixed. Markov bridges have many applications as stochastic models of real-world processes, especially within the areas of Economics and Finance. The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how the presence of an insider trader impacts market efficiency; how insider trading on financial markets can be detected; how information assimilates in market prices; and the optimal pricing policy of a particular market maker. Principles in this book will appeal to probabilists, statisticians, economists, researchers, and graduate students interested in Markov bridges and market microstructure theory.--

Source for Acquisition/Subscription Address

Springer Nature

Stock Number

com.springer.onix.9781493988358

Title

Dynamic Markov bridges and market microstructure.

International Standard Book Number

9781493988334

Markov processes.

Stochastic differential equations.

Finance & accounting.

Markov processes.

MATHEMATICS-- Applied.

MATHEMATICS-- Probability & Statistics-- General.

Probability & statistics.

Stochastic differential equations.

MAT-- 003000

MAT-- 029000

PBT

PBT

PBWL

Number

Edition

Class number

Book number

Çetin, Umut

Danilova, Albina,1977-

Date of Transaction

20200823034833.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y