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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A Foundations for Random Matching. Search my Subject Specializations: Distinguished and Coxeter Lecturers Index.

OTC markets are thus said to be relatively opaque; investors are somewhat in the dark about the most attractive duffue terms and about whom to contact for attractive terms. Dark Markets Author s: Don’t have an account? He has authored books and research articles on topics in finance and related fields. The DLS consists of a series of three one-hour lectures.

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Over-the-Counter Markets – Princeton Scholarship

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.

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. Darrell Duffie has been on the finance faculty at Stanford since receiving his Ph.

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. In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them.


If you think you should have access to this title, please contact your librarian. To troubleshoot, please check our FAQsand if you can’t find the answer there, please contact us. 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. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market Contents 1 OvertheCounter Markets.

Other editions – View all Dark Markets: Index of Fields Distinguished and Coxeter Lectures.

Distinguished Lecture Series – Darrell Duffie

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. University Press Scholarship Online. Print Save Cite Email Share. Prices and allocations in OTC markets are, to varying extents, influenced by opaqueness and by the role of intermediating brokers and dealers. Princeton Scholarship Online requires a subscription or purchase to access the full text of books within the service.

Investors in some markets are often unaware of the “going price,” and must search for suitable trading counterparties. I will review some modeling approaches and some of the empirical evidence.

Economics > General Economics

Darrell Duffie Limited preview – Princeton University Press Amazon. 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.

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I durfie explain how the opaqueness of some financial markets, particularly over-the-counter markets, affects the valuation of assets and investment behavior.

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. This chapter introduces the institutional setting of over-the-counter OTC markets and raises some of the key conceptual issues associated with market opaqueness. Please, subscribe or login to access full text content. 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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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.

Over-the-counter OTC markets for derivatives, collateralized cuffie obligations, and repurchase agreements played a significant role in the global financial crisis.

Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents. 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. April 22, This opaqueness exacerbated the financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments.