Equilibrium model with default and dynamic insider information

DOI10.1007/S00780-012-0196-XzbMath1270.91034OpenAlexW1964777476MaRDI QIDQ354195

Umut Çetin, Albina Danilova, Luciano Campi

Publication date: 18 July 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/751151

zbMATH Keywords

equilibriuminsider tradingdefault timedefaultable claimdynamic Bessel bridgedynamic information

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Economics of information (91B44)

Related Items (7)

What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ Kyle--Back Equilibrium Models and Linear Conditional Mean-Field SDEs ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ On Pricing Rules and Optimal Strategies in General Kyle--Back Models ⋮ Kyle equilibrium under random price pressure ⋮ Asymptotic Glosten--Milgrom Equilibrium

Cites Work

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• Dynamic Markov bridges motivated by models of insider trading
• Random times and enlargements of filtrations in a Brownian setting.
• Distressed debt prices and recovery rate estimation
• Continuous auctions and insider trading: uniqueness and risk aversion
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling

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