Dynamic Markov Bridges and Market Microstructure Theory and Applications - Probability Theory and Stochastic Modelling

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.

ISBN:	9781493988334
Publisher:	Springer New York
Imprint:	Springer
Published date:	26 Oct 2018
Language:	English
Number of pages:	234
Weight:	528g
Height:	163mm
Width:	243mm
Spine width:	17mm

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