15 citations · 17 across the 10 of their papers we have counts for
18 papers
Strict SDE Comparison for Cusp Coefficients and Counterexamples
Kasper Larsen
We provide a tractable sufficient condition for strict comparison for solutions of the one-dimensional stochastic differential equation \[ d X_t^x=σ(X_t^x)\,d B_t, \quad X_0^x=x\in…
Existence and convergence of discrete-time Kyle models with multiple insiders
Jin Choi, Kasper Larsen
Foster and Viswanathan (1996) extend the discrete-time setting of Kyle (1985) to multiple informed traders who have partial information about the stock's terminal dividend. We reso…
Is Kyle's equilibrium model stable?
Umut Cetin, Kasper Larsen
In the dynamic discrete-time trading setting of Kyle (1985), we prove that Kyle's equilibrium model is stable when there are one or two trading times. For three or more trading tim…
Trading constraints in continuous-time Kyle models
Jin Hyuk Choi, Heeyoung Kwon, Kasper Larsen
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces ou…
Learning about latent dynamic trading demand
Xiao Chen, Jin Hyuk Choi, Kasper Larsen +1
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private,…
Uniqueness in Cauchy problems for diffusive real-valued strict local martingales
Umut Cetin, Kasper Larsen
For a real-valued one dimensional diffusive strict local martingale,, we provide a set of smooth functions in which the Cauchy problem has a unique classical solution under a local…