Dynamic Markov Bridges and Market Microstructure

Theory and Applications

AvUmut Çetin,Albina Danilova

Häftad, Engelska, 2019

Del i serien Probability Theory and Stochastic Modelling

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Beskrivning

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;

Produktinformation

Utgivningsdatum:2019-12-10
Mått:155 x 235 x 14 mm
Vikt:382 g
Format:Häftad
Språk:Engelska
Serie:Probability Theory and Stochastic Modelling
Antal sidor:234
Förlag:Springer-Verlag New York Inc.
ISBN:9781493993994

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Mer om författaren

Umut Çetin is Professor of Statistics at the London School of Economics, where he is also Co-director of the Financial Mathematics and Statistics bachelor's program. His research interests include stochastic calculus, theory of martingales and Markov processes, linear and nonlinear filtering and market microstructure. He has published numerous papers in peer-reviewed journals, including Springer’s Finance and Stochastics.Albina Danilova is Associate Professor of Mathematics at the London School of Economics (LSE). Her research interests span asymmetric information models, market microstructure, stochastic control, and equilibrium theory.

Innehållsförteckning

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.