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

Citations

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Cited by:

  1. Christoph Kuhn & Christopher Lorenz, 2023. "Insider trading in discrete time Kyle games," Papers 2312.00904, arXiv.org, revised Jul 2024.
  2. Reda Chhaibi & Ibrahim Ekren & Eunjung Noh, 2025. "Solvability of the Gaussian Kyle model with imperfect information and risk aversion," Papers 2501.16488, arXiv.org.
  3. Shreya Bose & Ibrahim Ekren, 2020. "Kyle-Back Models with risk aversion and non-Gaussian Beliefs," Papers 2008.06377, arXiv.org, revised Oct 2022.
  4. Çetin, Umut, 2018. "Financial equilibrium with asymmetric information and random horizon," LSE Research Online Documents on Economics 84495, London School of Economics and Political Science, LSE Library.
  5. Umut c{C}etin, 2012. "On absolutely continuous compensators and nonlinear filtering equations in default risk models," Papers 1205.1154, arXiv.org.
  6. Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
  7. Jos'e M. Corcuera & Giulia Di Nunno, 2020. "Path-dependent Kyle equilibrium model," Papers 2006.06395, arXiv.org, revised Oct 2022.
  8. Philip A. Ernst & Oleksii Mostovyi, 2025. "The value of partial information," Papers 2505.08943, arXiv.org.
  9. 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.
  10. 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.
  11. Reda Chhaibi & Ibrahim Ekren & Eunjung Noh & Lu Vy, 2022. "A unified approach to informed trading via Monge-Kantorovich duality," Papers 2210.17384, arXiv.org.
  12. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
  13. Luciano Campi & Umut Cetin & Albina Danilova, 2011. "Equilibrium model with default and insider's dynamic information," Working Papers hal-00613216, HAL.
  14. Fabrice Baudoin & Oleksii Mostovyi, 2024. "The indifference value of the weak information," Papers 2408.02137, arXiv.org.
  15. Umut Çetin, 2018. "Financial equilibrium with asymmetric information and random horizon," Finance and Stochastics, Springer, vol. 22(1), pages 97-126, January.
  16. Umut c{C}et{i}n, 2018. "Mathematics of Market Microstructure under Asymmetric Information," Papers 1809.03885, arXiv.org.
  17. José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
  18. Cheng Li & Hao Xing, 2013. "Asymptotic Glosten Milgrom equilibrium," Papers 1310.4994, arXiv.org, revised Jan 2015.
  19. Christoph Kühn & Christopher Lorenz, 2025. "Insider trading in discrete time Kyle games," Mathematics and Financial Economics, Springer, volume 19, number 2, September.
  20. José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.
  21. Abel Azze & Bernardo D'Auria & Eduardo Garc'ia-Portugu'es, 2022. "Optimal stopping of Gauss-Markov bridges," Papers 2211.05835, arXiv.org, revised Jul 2024.
  22. 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, arXiv.org, revised Mar 2018.
  23. Albina Danilova, 2016. "Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information," Papers 1607.00035, arXiv.org.
  24. Fajardo, Jose, 2016. "Optimal Insider Strategy with Law Penalties," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(1), March.
  25. Umut c{C}etin, 2016. "Financial equilibrium with asymmetric information and random horizon," Papers 1603.08828, arXiv.org, revised Sep 2017.
  26. 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.
  27. 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.
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