Dark markets : asset pricing and information transmission in over-the-counter markets / Darrell Duffie.

Format:

Book

Author/Creator:

Duffie, Darrell.

Series:

Princeton lectures in finance.

Princeton lectures in finance

Language:

English

Subjects (All):

Over-the-counter markets.

Capital assets pricing model.

Physical Description:

1 online resource (114 p.)

Edition:

Course Book

Place of Publication:

Princeton : Princeton University Press, c2012.

Language Note:

English

Summary:

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.

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

Notes:

Includes index.

Includes bibliographical references and index.

ISBN:

9786613339867

9781283339865

1283339862

9781400840519

1400840511

OCLC:

767502456