Items where Author is "Danilova, Albina"

Article

Cetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina (2021) On pricing rules and optimal strategies in general Kyle-Back models. SIAM Journal on Control and Optimization, 59 (5). 3973 – 3998. ISSN 0363-0129

Çetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina (2016) Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems. Annals of Applied Probability, 26 (4). pp. 1996-2029. ISSN 1050-5164

Çetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina (2016) Markov bridges: SDE representation. Stochastic Processes and Their Applications, 126 (3). 651 - 679. ISSN 0304-4149

Campi, Luciano, Cetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina (2013) Equilibrium model with default and dynamic insider information. Finance and Stochastics, 17 (347). pp. 565-585. ISSN 0949-2984

Campi, Luciano, Cetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina (2013) Explicit construction of a dynamic Bessel bridge of dimension 3. Electronic Journal of Probability, 18 (20). pp. 1-25. ISSN 1083-6489

Campi, Luciano, Cetin, Umut ORCID: 0000-0001-8905-853X and Danilova, Albina (2011) Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and Their Applications, 121 (3). pp. 534-567. ISSN 0304-4149

Danilova, Albina (2010) Stock market insider trading in continuous time with imperfect dynamic information. Stochastics: an International Journal of Probability and Stochastic Processes, 82 (1). pp. 111-131. ISSN 1744-2508

Danilova, Albina, Monoyios, Michael and Ng, Andrew (2010) Optimal investment with inside information and parameter uncertainty. Mathematics and Financial Economics, 3 (1). pp. 13-38. ISSN 1862-9679

Monograph

Danilova, Albina and Julliard, Christian (2015) Information asymmetries, volatility, liquidity and the Tobin Tax. Financial Markets Group Discussion Papers (748). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danilova, Albina and Julliard, Christian (2014) Information asymmetries, volatility, liquidity, and the Tobin Tax. Systemic Risk Centre Discussion Papers (24). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Danilova, Albina, Monoyios, Michael and Ng, Andrew (2009) Optimal investment with inside information and parameter uncertainty. . arXiv.