Dark Markets, by Darrell Duffie, Princeton University. Press (). Hardback. ISBN: Dark Markets is an important book on an increasingly. Financial Markets and Portfolio Management Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter. By Sina Marquardt; Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets.
|Published (Last):||11 March 2005|
|PDF File Size:||5.9 Mb|
|ePub File Size:||20.39 Mb|
|Price:||Free* [*Free Regsitration Required]|
Prices and allocations in OTC markets are, to varying extents, influenced by opaqueness and by the role of intermediating brokers and dealers. Investors in some markets are often unaware of the “going price,” and must search for suitable trading counterparties.
I will explain how the opaqueness of some financial markets, particularly over-the-counter markets, affects the valuation of assets and investment behavior. My library Help Advanced Book Search. The DLS consists of a series of three one-hour lectures. Other editions – View all Dark Markets: Darrell Duffie has been on the finance faculty at Stanford since receiving his Ph.
His research interests include incomplete duffe markets; derivatives markets; financial risk management; capital asset pricing theory; preference theory under uncertainty; security design; term structures of interest rates; credit risk, systemic risk in capital markets, valuation of corporate and sovereign debt, swaps, and credit derivatives.
I will review some modeling approaches and some of the empirical evidence.
The degree of market opaqueness is indicated by variation in execution prices across different trades at a given time, and the impact of supply shocks and information releases on price behavior over time. April 22, He gives an overview of asset pricing in OTC markets with symmetric and asymmetric information, showing how information percolates through these markets as investors encounter each other over time.
Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents.
Don’t have an account? Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market.
Dark Markets, by Darrell Duffie – 人大经济论坛 – Powered by Discuz!
A Foundations for Random Matching. Users without a subscription dufffie not able to see the full content. Instead, buyers and sellers negotiate terms privately, often in ignorance of the prices currently available from other potential counterparties and with limited knowledge of trades recently negotiated elsewhere in the market. Dark Markets I will explain how the opaqueness of some financial markets, particularly over-the-counter markets, affects the valuation of assets and investment behavior.
Distinguished and Coxeter Lecturers Index. Dark Markets offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field.
University Press Scholarship Online. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Index of Fields Distinguished and Coxeter Lectures.
Please, subscribe or login to access full text content.
Over-the-Counter Markets – Princeton Scholarship
Publications Pages Publications Pages. Public users can however freely search the site and view the abstracts and keywords for each book and chapter. Durfie Duffie Limited preview – Dark Markets Author s: Account Options Sign in. If you think you should have access to this title, please contact your librarian.
Fark than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market Centre for Mathematical Medicine.
Contents 1 OvertheCounter Markets. To troubleshoot, please check our FAQsand if you can’t find the answer there, please contact us. Princeton University Press Amazon. Princeton Scholarship Online requires a subscription or purchase to access the full text of books within the service. This chapter introduces the institutional setting of over-the-counter OTC markets and raises some of the key conceptual issues associated with market opaqueness. Over-the-counter OTC markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis.
Thematic Year Home page. He has authored books and research articles on topics in finance and related fields.
April 23, darrelk This book also features appendixes containing methodologies supporting the more theory-oriented of the chapters, making this the most self-contained introduction to OTC markets available.
In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. An OTC market does not use a centralized trading mechanism, such as an auction, specialist, or limit-order book, to aggregate bids and offers and to allocate trades. Search my Subject Specializations: