عنوان

Dynamic Markov bridges and market microstructure :

شابک

1493988344

شابک

1493988352

شابک

9781493988341

شابک

9781493988358

شابک اشتباه

1493988336

شابک اشتباه

9781493988334

عنوان اصلي

Dynamic Markov bridges and market microstructure :

نام عام مواد

[Book]

ساير اطلاعات عنواني

theory and applications /

نام نخستين پديدآور

Umut Çetin, Albina Danilova.

محل نشرو پخش و غیره

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

نام ناشر، پخش کننده و غيره

Springer,

تاریخ نشرو بخش و غیره

[2018]

نام خاص و کميت اثر

1 online resource

عنوان فروست

Probability theory and stochastic modelling,

مشخصه جلد

volume 90

شاپا ي ISSN فروست

2199-3130 ;

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

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.--

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix.9781493988358

عنوان

Dynamic Markov bridges and market microstructure.

شماره استاندارد بين المللي کتاب و موسيقي

9781493988334

موضوع مستند نشده

Markov processes.

موضوع مستند نشده

Stochastic differential equations.

موضوع مستند نشده

Finance & accounting.

موضوع مستند نشده

Markov processes.

موضوع مستند نشده

MATHEMATICS-- Applied.

موضوع مستند نشده

MATHEMATICS-- Probability & Statistics-- General.

موضوع مستند نشده

Probability & statistics.

موضوع مستند نشده

Stochastic differential equations.

موضوع مستند نشده

MAT-- 003000

موضوع مستند نشده

MAT-- 029000

موضوع مستند نشده

PBT

موضوع مستند نشده

PBT

موضوع مستند نشده

PBWL

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Çetin, Umut

مستند نام اشخاص تاييد نشده

Danilova, Albina,1977-

تاريخ عمليات

20200823034833.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y