5 citations · 8 across the 7 of their papers we have counts for
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q-fin.MF2020
Insiders and their Free Lunches: the Role of Short Positions
Delia Coculescu, Aditi Dandapani
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measur…
math.PR2020
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
Aditi Dandapani, Philip Protter
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the su…