Dark Markets : : Asset Pricing and Information Transmission in Over-the-Counter Markets / / Darrell Duffie.
Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market...
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Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2011] ©2012 |
Year of Publication: | 2011 |
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Duffie, Darrell, author. aut http://id.loc.gov/vocabulary/relators/aut Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / Darrell Duffie. Course Book Princeton, NJ : Princeton University Press, [2011] ©2012 1 online resource (128 p.) : 5 line illus. 5 tables. text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda Princeton Lectures in Finance ; 6 Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star Over-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. 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. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. 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. Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. 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. 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. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) Capital assets pricing model. Over-the-counter markets. BUSINESS & ECONOMICS / Finance / General. bisacsh Bellman's principle. OTC market. OTC trades. asset pricing. credit risk. debt. derivatives. equilibrium bargaining. equilibrium search. federal funds market. federal loans. global financial crisis. information exchange. interbank market. intraday allocation. large numbers. market opaqueness. over-the-counter market. percolation. posterior beliefs. private information. random matching. repurchase. search models. supply shocks. trading. transparency. Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 print 9780691138961 https://doi.org/10.1515/9781400840519?locatt=mode:legacy https://www.degruyter.com/isbn/9781400840519 Cover https://www.degruyter.com/cover/covers/9781400840519.jpg |
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English |
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author |
Duffie, Darrell, Duffie, Darrell, |
spellingShingle |
Duffie, Darrell, Duffie, Darrell, Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / Princeton Lectures in Finance ; Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
author_facet |
Duffie, Darrell, Duffie, Darrell, |
author_variant |
d d dd d d dd |
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VerfasserIn VerfasserIn |
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Duffie, Darrell, |
title |
Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / |
title_sub |
Asset Pricing and Information Transmission in Over-the-Counter Markets / |
title_full |
Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / Darrell Duffie. |
title_fullStr |
Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / Darrell Duffie. |
title_full_unstemmed |
Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / Darrell Duffie. |
title_auth |
Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / |
title_alt |
Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
title_new |
Dark Markets : |
title_sort |
dark markets : asset pricing and information transmission in over-the-counter markets / |
series |
Princeton Lectures in Finance ; |
series2 |
Princeton Lectures in Finance ; |
publisher |
Princeton University Press, |
publishDate |
2011 |
physical |
1 online resource (128 p.) : 5 line illus. 5 tables. Issued also in print. |
edition |
Course Book |
contents |
Frontmatter -- Contents -- Tables -- Figures -- Preface -- Chapter 1. Over-the- Counter Markets -- Chapter 2. The Case of Federal Funds Lending -- Chapter 3. Search for Counterparties -- Chapter 4. A Simple OTC Pricing Model -- Chapter 5 Information Percolation in OTC Markets -- Appendix A. Foundations for Random Matching -- Appendix B. Counting Processes -- Bibliography -- Index |
isbn |
9781400840519 9783110442502 9780691138961 |
callnumber-first |
H - Social Science |
callnumber-subject |
HG - Finance |
callnumber-label |
HG4521 |
callnumber-sort |
HG 44521 |
url |
https://doi.org/10.1515/9781400840519?locatt=mode:legacy https://www.degruyter.com/isbn/9781400840519 https://www.degruyter.com/cover/covers/9781400840519.jpg |
illustrated |
Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
332 - Financial economics |
dewey-full |
332.643 |
dewey-sort |
3332.643 |
dewey-raw |
332.643 |
dewey-search |
332.643 |
doi_str_mv |
10.1515/9781400840519?locatt=mode:legacy |
oclc_num |
979579451 |
work_keys_str_mv |
AT duffiedarrell darkmarketsassetpricingandinformationtransmissioninoverthecountermarkets |
status_str |
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ids_txt_mv |
(DE-B1597)446744 (OCoLC)979579451 |
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hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Dark Markets : Asset Pricing and Information Transmission in Over-the-Counter Markets / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
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