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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Distinguished Lecture Series – Darrell Duffie

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

Users without a subscription are not able to see the full content. April 23, 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 market.

Economics > General Economics

Public users can however freely search the site and view the abstracts and keywords for each book and chapter. Darrell Duffie has been on the finance faculty at Stanford since receiving his Ph. To troubleshoot, please check our FAQsand if you can’t find the answer there, please contact us.


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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.

He has authored books and research articles on topics in finance and related fields.

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.

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.

Investors in some markets are often unaware of the “going price,” and must search for suitable trading counterparties. Over-the-counter OTC markets for derivatives, collateralized debt obligations, and repurchase agreements played a significant role in the global financial dufie. 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.

Distinguished and Coxeter Lecturers Index. The DLS consists of a series of three one-hour lectures. Prices and allocations in OTC markets are, to varying extents, influenced by opaqueness and by the role of intermediating brokers and dealers.

In these relatively opaque markets, investors can be in the dark about the most attractive available terms and who might be offering them. Account Options Sign in. Darrell Duffie Limited preview – Other editions – View all Dark Markets: Darrell Duffie covers the basic methods for modeling search and random matching in economies with many agents.


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. Contents 1 OvertheCounter Markets. 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.

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April 22, Rather than being traded through a centralized institution duffue 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.

Index of Fields Distinguished and Coxeter Lectures. My library Help Advanced Book Search. Princeton Scholarship Online requires a subscription or purchase to access the full text of books within the service. Publications Pages Publications Pages.