Dynamic Markov Bridges and Market Microstructure : Theory and Applications. 1st ed. 2018

種類:

電子ブック

責任表示:

by Umut Çetin, Albina Danilova

出版情報:

New York, NY : Springer New York : Imprint: Springer, 2018

著者名:

• Çetin, Umut.
• Danilova, Albina.
• SpringerLink (Online service)

シリーズ名:

Probability Theory and Stochastic Modelling ; 90

ISBN:

9781493988358 [1493988352]    

注記:

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.
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. M

ローカル注記:

学内専用E-BOOKS (local access only)