Dynamic Markov Bridges and Market Microstructure - Theory and Applications Cetin UmutPevná vazba
Dynamic Markov Bridges and Market Microstructure - Theory and Applications Cetin UmutPevná vazba This book undertakes a detailed construction of Dynamic Markov Bridges using a combination of theory…
Specifikacia Dynamic Markov Bridges and Market Microstructure - Theory and Applications Cetin UmutPevná vazba
Dynamic Markov Bridges and Market Microstructure - Theory and Applications Cetin UmutPevná vazba
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. 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. In Part I, theory is developed using tools from stochastic filtering, partial differential equations, Markov processes, and their interplay.
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 L vy in the context of Brownian motion,