Equilibrium model with default and insider's dynamic information
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References listed on IDEAS
- Kerry Back & Hal Pedersen, 1995. "Long-Lived Information and Intraday Patterns," Finance 9507008, EconWPA.
- 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.
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- 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.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-08-15 (All new papers)
- NEP-CTA-2011-08-15 (Contract Theory & Applications)
- NEP-MST-2011-08-15 (Market Microstructure)
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