26 citations · 28 across the 6 of their papers we have counts for
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q-fin.MF2025
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…
q-fin.MF2016
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…