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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Thematic Year Home page. Dark Markets Author s: Index of Fields Distinguished and Coxeter Lectures.

Centre for Mathematical Medicine. I will explain how the opaqueness of some financial markfts, particularly over-the-counter markets, affects the valuation of assets and investment behavior. Over-the-counter OTC markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis.

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Public users can however freely search the site and view the abstracts and keywords for each book and chapter. Other editions – View all Dark Markets: 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 has authored books and research articles on topics in finance and related fields. April 22, An OTC market does not use a centralized trading mechanism, such as an auction, specialist, or limit-order book, to aggregate bids and offers and to allocate trades.


In these relatively opaque markets, dufvie can be in the dark about the most attractive available terms and who might be offering them. Print Save Cite Email Share.

Over-the-Counter Markets

The DLS consists of marets series of three one-hour lectures. Darrell Duffie has been on the finance faculty at Stanford since receiving duffue Ph. Investors in some markets are often unaware of the “going price,” and must search for suitable trading counterparties. Dark Markets I will explain how the opaqueness of some financial markets, particularly over-the-counter markets, affects the valuation of assets and investment behavior. 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.

Over-the-Counter Markets – Princeton Scholarship

Account Options Sign in. Users without a subscription are not able to see the full content. 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.

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 chapter introduces the institutional setting of over-the-counter OTC markets and raises some of the key conceptual issues associated with market opaqueness.


Search my Subject Specializations: Prices and allocations in OTC markets are, to varying extents, influenced by opaqueness and by the role of intermediating brokers and dealers. OTC markets are thus said to be relatively opaque; investors are somewhat in the dark about dufvie most attractive available terms and about whom to contact for attractive terms.

April 23, 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.

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Darrell Duffie Limited preview – A Foundations for Random Matching. 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. 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.

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