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035   $a(OCoLC)767502456
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035   $a(DE-B1597)9781400840519
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100   $a20110818d2012      uy             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt
182   $cc
183   $acr
200 10$aDark markets$b[electronic resource] $easset pricing and information transmission in over-the-counter markets /$fDarrell Duffie
205   $aCourse Book
210   $aPrinceton $cPrinceton University Press$dc2012
215   $a1 online resource (114 p.)
225 1 $aPrinceton lectures in finance
300   $aIncludes index.
311   $a0-691-13896-6 
320   $aIncludes bibliographical references and index.
327   $t Frontmatter -- $tContents -- $tTables -- $tFigures -- $tPreface -- $tChapter 1. Over-the- Counter Markets -- $tChapter 2. The Case of Federal Funds Lending -- $tChapter 3. Search for Counterparties -- $tChapter 4. A Simple OTC Pricing Model -- $tChapter 5 Information Percolation in OTC Markets -- $tAppendix A. Foundations for Random Matching -- $tAppendix B. Counting Processes -- $tBibliography -- $tIndex
330   $aOver-the-counter (OTC) markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market participants who may be unaware of prices that are currently available elsewhere in the market. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments. Dark Markets offers a concise introduction to OTC markets by explaining key conceptual issues and modeling techniques, and by providing readers with a foundation for more advanced subjects in this field. Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. He gives an overview of asset pricing in OTC markets with symmetric and asymmetric information, showing how information percolates through these markets as investors encounter each other over time. This book also features appendixes containing methodologies supporting the more theory-oriented of the chapters, making this the most self-contained introduction to OTC markets available.
410  0$aPrinceton lectures in finance.
606   $aOver-the-counter markets
606   $aCapital assets pricing model
608   $aElectronic books.
610   $aBellman's principle.
610   $aOTC market.
610   $aOTC trades.
610   $aasset pricing.
610   $acredit risk.
610   $adebt.
610   $aderivatives.
610   $aequilibrium bargaining.
610   $aequilibrium search.
610   $afederal funds market.
610   $afederal loans.
610   $aglobal financial crisis.
610   $ainformation exchange.
610   $ainterbank market.
610   $aintraday allocation.
610   $alarge numbers.
610   $amarket opaqueness.
610   $aover-the-counter market.
610   $apercolation.
610   $aposterior beliefs.
610   $aprivate information.
610   $arandom matching.
610   $arepurchase.
610   $asearch models.
610   $asupply shocks.
610   $atrading.
610   $atransparency.
615  0$aOver-the-counter markets.
615  0$aCapital assets pricing model.
676   $a332.64/3
700   $aDuffie$b Darrell$055005
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910457897503321
996   $aDark markets$92474988
997   $aUNINA