Del i serien Probability Theory and Stochastic Modelling

Dynamic Markov Bridges and Market Microstructure

Theory and Applications

Häftad, Engelska, 2019

AvUmut Çetin,Albina Danilova

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The construction of a Dynamic Markov Bridge, a useful extension of Markov bridge theory, addresses several important questions concerning how financial markets function, among them: how the presence of an insider trader impacts market efficiency;

Produktinformation

Utgivningsdatum2019-12-10
Mått155 x 235 x 14 mm
Vikt382 g
FormatHäftad
SpråkEngelska
SerieProbability Theory and Stochastic Modelling
Antal sidor234
FörlagSpringer-Verlag New York Inc.
ISBN9781493993994

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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.