Dark Markets, by Darrell Duffie, Princeton University. Press (). Hardback. ISBN: Dark Markets is an important book on an increasingly. In response to the financial crisis of to , a large number of financial assets, such as derivatives, collateralized debt obligations, and. By Sina Marquardt; Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets.
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April 23, OTC markets are thus said to be relatively opaque; investors are somewhat in the dark about the most attractive available terms and about whom to contact for attractive terms. I will explain how the opaqueness of some financial markets, particularly over-the-counter markets, affects the valuation of assets and investment behavior. Print Save Cite Email Share. April 22, My library Help Advanced Book Search. Publications Pages Sark Pages.
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Economics > General Economics
A Foundations for Random Matching. Distinguished and Coxeter Lecturers Index. He has authored books and research articles on topics maekets finance and related fields.
Account Options Sign in. 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 Markets – Princeton Scholarship
Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in HSO for personal use for details see www. Investors in some markets are often unaware of the “going price,” and must search for suitable trading counterparties.
Over-the-counter OTC markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. 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 euffie over time.
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. Princeton Scholarship Online requires a subscription or purchase to access the full text of books within the service.
His research interests include incomplete security 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. 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.
Search my Subject Specializations: 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. Princeton University Press Amazon. Dark Markets Author s: I will review some modeling approaches and some of the empirical evidence.
Darrell Duffie Limited preview – Dark Markets I duffoe explain how the opaqueness of some financial markets, particularly over-the-counter markets, affects the valuation of assets and investment behavior. Don’t have an account?
University Press Scholarship Online. Users without a subscription are not able to see the full content. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Darrell Duffie has been on the finance faculty at Stanford since receiving his Ph.
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.
Rather than being traded dffie 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. Centre for Mathematical Medicine.