Equilibrium model with default and dynamic insider information

DOI10.1007/S00780-012-0196-XMaRDI QIDQ354195zbMATH OpenOpenAlexFDO

Authors Luciano Campi, Umut Cetin, Albina Danilova

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

default timedefaultable claimdynamic Bessel bridgedynamic informationequilibriuminsider trading

Mathematics Subject Classification ID

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

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Cites work

• Continuous auctions and insider trading: uniqueness and risk aversion
• Distressed debt prices and recovery rate estimation
• Dynamic Markov bridges motivated by models of insider trading
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1948558 (Why is no real title available?)
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
• Random times and enlargements of filtrations in a Brownian setting.

Cited in

(14)

• What if we knew what the future brings? Optimal investment for a frontrunner with price impact
• Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation
• Kyle equilibrium under random price pressure
• Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
• Weak Kyle-Back equilibrium models for Max and ArgMax
• 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
• Asymptotic Glosten-Milgrom equilibrium
• On the equilibrium of insider trading under information acquisition with long memory
• Equilibrium of insider trading on dynamic asset with stochastic liquidity under partial observations
• Insider trading with penalties in continuous time
• Insider trading at a random deadline with correlation between dynamic asset and stochastic liquidity
• Optimal stopping of Gauss-Markov bridges

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