Similar Search Results

Equilibrium model with default and dynamic insider information

Campi, Luciano; Çetin, Umut; Danilova, Albina - In: Finance and Stochastics 17 (2013) 3, pp. 565-585

We consider an equilibrium model à la Kyle–Back for a defaultable claim issued by a given firm. In such a market the insider observes continuously in time the value of the firm, which is unobservable by the market makers. Using the construction in Campi et al. (<ExternalRef>...</refsource></externalref>

Persistent link: https://www.econbiz.de/10010997065

Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling

Campi, Luciano; Çetin, Umut - In: Finance and Stochastics 11 (2007) 4, pp. 591-602

Persistent link: https://www.econbiz.de/10005184368

Equilibrium model with default and dynamic insider information

Campi, Luciano; Çetin, Umut; Danifova, Albina - In: Finance and stochastics 17 (2013) 3, pp. 565-585

Persistent link: https://www.econbiz.de/10009756021

Insider trading in an equilibrium model with default : a passage from reduced-form to structural modelling

Campi, Luciano; Çetin, Umut - In: Finance and stochastics 11 (2007) 4, pp. 591-602

Persistent link: https://www.econbiz.de/10003645546

Dynamic Markov bridges and market microstructure : theory and applications

Çetin, Umut; Danilova, Albina - 2018

Persistent link: https://www.econbiz.de/10012213242