Dynamic Markov bridges and market microstructure. Theory and applications

DOI10.1007/978-1-4939-8835-8MaRDI QIDQ4583286zbMATH OpenOpenAlexFDO

Authors Umut Cetin, Albina Danilova

Publication date 28 August 2018

Published in Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-8835-8

zbMATH Keywords

optimisationmartingaledefaultfinancial marketsMarkov bridgesinformational asymmetry

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Economics of information (91B44) Financial applications of other theories (91G80) Stochastic integral equations (60H20)

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(5)

• Identifying stock market bubbles. Modeling illiquidity premium and bid-ask prices of financial securities
• Linear inverse problems for Markov processes and their regularisation
• The financial mathematics of market liquidity. From optimal execution to market making
• On pricing rules and optimal strategies in general Kyle-Back models
• Speeding up the Euler scheme for killed diffusions

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