26 citations · 28 across the 6 of their papers we have counts for
8 papers
Risk aversion of insider and dynamic asymmetric information
Albina Danilova, Valentin Lizhdvoy
This paper studies a Kyle-Back model with a risk-averse insider possessing exponential utility and a dynamic stochastic signal about the asset's terminal fundamental value. While t…
Order routing and market quality: Who benefits from internalisation?
Umut Çetin, Alaina Danilova
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers…
On pricing rules and optimal strategies in general Kyle-Back models
Umut Çetin, Albina Danilova
The folk result in Kyle-Back models states that the value function of the insider remains unchanged when her admissible strategies are restricted to absolutely continuous ones. In…
Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information
Albina Danilova
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the fir…
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
Umut Çetin, Albina Danilova
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the r…
Markov bridges: SDE representation
Umut Çetin, Albina Danilova
Let be a Markov process taking values in with continuous paths and transition function . Given a measure on , a Markov br…