Dynamic Markov Bridges and Market Microstructure: Theory and Applications
Author:   Umut Çetin ,  Albina Danilova
Publisher:   Springer-Verlag New York Inc.
Edition:   2018 ed.
Volume:   90
ISBN:  

9781493988334


Pages:   234
Publication Date:   26 October 2018
Format:   Hardback
Availability:   Manufactured on demand   Availability explained
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Dynamic Markov Bridges and Market Microstructure: Theory and Applications


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Author:   Umut Çetin ,  Albina Danilova
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   2018 ed.
Volume:   90
Weight:   0.541kg
ISBN:  

9781493988334


ISBN 10:   1493988336
Pages:   234
Publication Date:   26 October 2018
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Markov processes.- Stochastic Differential Equations and Martingale Problems.- Stochastic Filtering.- Static Markov Bridges and Enlargement of Filtrations.- Dynamic Bridges.- Financial markets with informational asymmetries and equilibrium.- Kyle-Back model with dynamic information: no default case.- Appendix A.

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Author Information

Umut Çetin is Professor of Statistics at the London School of Economics, where he is also Co-director of the Financial Mathematics and Statistics bachelor's program. His research interests include stochastic calculus, theory of martingales and Markov processes, linear and nonlinear filtering and market microstructure. He has published numerous papers in peer-reviewed journals, including Springer’s Finance and Stochastics. Albina Danilova is Associate Professor of Mathematics at the London School of Economics (LSE). Her research interests span asymmetric information models, market microstructure, stochastic control, and equilibrium theory.

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