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Synopsis
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 undergoeschanges 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.
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À propos de l?auteur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Dynamic Markov Bridges and Market Microstructure. Theory and Applications.
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New York, Springer., 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
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Vendeur : Universitätsbuchhandlung Herta Hold GmbH, Berlin, Allemagne
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XIV, 234 p. Hardcover. Versand aus Deutschland / We dispatch from Germany via Air Mail. Einband bestoßen, daher Mängelexemplar gestempelt, sonst sehr guter Zustand. Imperfect copy due to slightly bumped cover, apart from this in very good condition. Stamped. Probability Theory and Stochastic Modelling. Volume 90. Sprache: Englisch. N° de réf. du vendeur 43097HB
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Dynamic Markov Bridges and Market Microstructure : Theory and Applications
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Springer New York, 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
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Etat : Hervorragend. Zustand: Hervorragend | Seiten: 248 | Sprache: Englisch | Produktart: Bücher. N° de réf. du vendeur 29636171/1
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Dynamic Markov Bridges and Market Microstructure: Theory and Applications (Probability Theory and Stochastic Modelling (90), Band 90) : Theory and Applications
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Springer New York, 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
Ancien ou d'occasion
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Gebundene Ausgabe. Etat : Sehr gut. Gebraucht - Sehr gut SG - Ungelesenes Mängelexemplar, gestempelt, mit leichten Lagerspuren - 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. N° de réf. du vendeur INF1000548197
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Dynamic Markov Bridges and Market Microstructure
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Springer New York, 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Cutting-edge interdisciplinary research in the areas of applied statistics, mathematics, finance, and economicsFirst comprehensive text on using Dynamic Markov Bridges to study asymmetric information among market participants. N° de réf. du vendeur 233116249
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Dynamic Markov Bridges and Market Microstructure: Theory and Applications (Probability Theory and Stochastic Modelling, 90)
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Dynamic Markov Bridges and Market Microstructure : Theory and Applications
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Dynamic Markov Bridges and Market Microstructure
Edité par
Springer New York Okt 2018, 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 whopossesses 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 isprovided 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 undergoeschanges in value from one state to another when the initial and final states are fixed. Markov bridges have many applications asstochastic 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. 248 pp. Englisch. N° de réf. du vendeur 9781493988334
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Dynamic Markov Bridges and Market Microstructure
Edité par
Springer New York, Springer US Okt 2018, 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 248 pp. Englisch. N° de réf. du vendeur 9781493988334
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Dynamic Markov Bridges and Market Microstructure : Theory and Applications
Edité par
Springer New York, Springer US, 2018
ISBN 10 : 1493988336
ISBN 13 : 9781493988334
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 whopossesses 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 isprovided 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 undergoeschanges in value from one state to another when the initial and final states are fixed. Markov bridges have many applications asstochastic 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. N° de réf. du vendeur 9781493988334
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Dynamic Markov Bridges and Market Microstructure : Theory and Applications
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