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


  • Luciano Campi


  • Umut Çetin



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Suggested Citation

  • Luciano Campi & Umut Çetin, 2007. "Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling," Finance and Stochastics, Springer, vol. 11(4), pages 591-602, October.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:591-602
    DOI: 10.1007/s00780-007-0038-4

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    References listed on IDEAS

    1. Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
    2. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    3. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409 World Scientific Publishing Co. Pte. Ltd..
    4. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    6. Philippe Artzner & Freddy Delbaen, 1995. "Default Risk Insurance And Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 187-195.
    7. Back, Kerry, 1992. "Insider Trading in Continuous Time," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
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    Cited by:

    1. Cheng Li & Hao Xing, 2013. "Asymptotic Glosten Milgrom equilibrium," Papers 1310.4994,, revised Jan 2015.
    2. Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal, 2014. "A continuous auction model with insiders and random time of information release," Papers 1411.2835,, revised Mar 2018.
    3. Albina Danilova, 2016. "Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information," Papers 1607.00035,
    4. Luciano Campi & Umut Çetin & Albina Danilova, 2013. "Equilibrium model with default and dynamic insider information," Finance and Stochastics, Springer, vol. 17(3), pages 565-585, July.
    5. Umut c{C}etin, 2016. "Financial equilibrium with asymmetric information and random horizon," Papers 1603.08828,, revised Sep 2017.
    6. Li, Cheng & Xing, Hao, 2015. "Asymptotic Glosten-Milgrom equilibrium," LSE Research Online Documents on Economics 60579, London School of Economics and Political Science, LSE Library.
    7. Campi, Luciano & Cetin, Umut & Danilova, Albina, 2013. "Explicit construction of a dynamic Bessel bridge of dimension 3," LSE Research Online Documents on Economics 45263, London School of Economics and Political Science, LSE Library.
    8. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117,, revised Feb 2010.
    9. Luciano Campi & Umut Cetin & Albina Danilova, 2011. "Equilibrium model with default and insider's dynamic information," Working Papers hal-00613216, HAL.
    10. Çetin, Umut, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3619-3647.
    11. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154,
    12. repec:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0348-0 is not listed on IDEAS

    More about this item


    Default; Structural models; Reduced-form models; Equilibrium; Insider trading; Bessel bridge; 93E11; 93E20; D82; G12;

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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