Dark Markets, by Darrell Duffie, Princeton University. Press (). Hardback. ISBN: Dark Markets is an important book on an increasingly. Financial Markets and Portfolio Management Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter. By Sina Marquardt; Darrell Duffie: Dark markets, asset pricing and information transmission in over-the-counter markets.

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University Press Scholarship Online. April 23, Over-the-counter OTC markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial crisis. Distinguished and Coxeter Lecturers Index. Investors in some markets are often unaware of mqrkets “going price,” and must search for suitable trading counterparties.

Over-the-Counter Markets – Princeton Scholarship

This chapter introduces the institutional setting of over-the-counter OTC markets and raises some of the key conceptual issues associated with market opaqueness. Darrell Duffie Limited preview – OTC markets are thus said to be relatively opaque; investors are somewhat in the dark about the most attractive available terms and about whom to contact for attractive terms.

The DLS consists of a series marrkets three one-hour lectures. Under the terms of the licence agreement, duffei 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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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. Princeton Scholarship Online requires a subscription or purchase to access the full text of books within the service. Publications Pages Publications Pages. Print Save Cite Email Share.


This opaqueness exacerbated marketx financial crisis, as regulators and market participants were unable to quickly assess the risks and pricing of these instruments.

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 dagk. If you think you should have access to this title, please contact your librarian.

Public users can however freely search the site and view the abstracts and keywords for each book and chapter. Prices and allocations in OTC markets are, to varying extents, influenced by opaqueness and by the role of intermediating brokers and dealers.

Darrell Duffie covers the basic methods for modeling search and random matching in economies with dugfie agents. Princeton University Press Amazon. Please, subscribe or login to access full text content.

Distinguished Lecture Series – Darrell Duffie

Users without a subscription are not able to see the full content. Rather than being traded through a centralized institution such as a stock exchange, OTC trades are negotiated privately between market 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.

Thematic Year Home page. 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. He has authored books and research articles on topics in finance and related fields. 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.


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.

Dark Markets markes 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. Centre for Mathematical Medicine.


Index of Fields Distinguished and Coxeter Lectures. I will review some modeling approaches and some of the empirical evidence. My library Help Advanced Book Search. 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.