Dynamic Markov bridges motivated by models of insider trading L Campi, U Cetin, A Danilova
Stochastic Processes and their Applications 121 (3), 534-567, 2011
47 2011 Optimal investment with inside information and parameter uncertainty A Danilova, M Monoyios, A Ng
Mathematics and Financial Economics 3, 13-38, 2010
38 2010 Stock market insider trading in continuous time with imperfect dynamic information A Danilova
Stochastics An International Journal of Probability and Stochastics …, 2010
38 2010 Equilibrium model with default and dynamic insider information L Campi, U Çetin, A Danilova
Finance and Stochastics 17, 565-585, 2013
33 2013 Storing arb H Ahn, A Danilova, G Swindle
Wilmott 1, 78-83, 2002
25 2002 Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems U Çetin, A Danilova
23 2016 Markov bridges: SDE representation U Çetin, A Danilova
Stochastic Processes and their Applications 126 (3), 651-679, 2016
19 2016 Explicit construction of a dynamic Bessel bridge of dimension L Campi, U Cetin, A Danilova
14 2013 On Pricing Rules and Optimal Strategies in General Kyle--Back Models U Çetin, A Danilova
SIAM Journal on Control and Optimization 59 (5), 3973-3998, 2021
10 2021 Dynamic Markov Bridges and Market Microstructure: Theory and Applications U Çetin, A Danilova
Springer, 2018
10 2018 Hedging financial instruments written on non-tradable indexes R Carmona, A Danilova
Unpublished manuscript, 2003
5 2003 Understanding volatility, liquidity, and the Tobin tax A Danilova, C Julliard
Preprint, 2019
4 2019 Risk-Sensitive Investment Management A Danilova
Quantitative Finance 15 (12), 1913-1914, 2015
3 2015 Information asymmetries, volatility, liquidity, and the Tobin Tax A Danilova, C Julliard
LSE Financial Markets Group, 2015
3 2015 Markov Processes U Çetin, A Danilova, U Çetin, A Danilova
Dynamic Markov Bridges and Market Microstructure: Theory and Applications, 3-21, 2018
1 2018 Equilibrium model with default and insider's dynamic information L Campi, U Cetin, A Danilova
1 2011 Emergence of stochastic volatility from informational heterogeneity A Danilova
Princeton University, 2005
1 2005 On pricing rules and optimal strategies in general Kyle-Back models A Danilova
arXiv. org Papers, 2021
2021 Stochastic Filtering U Çetin, A Danilova, U Çetin, A Danilova
Dynamic Markov Bridges and Market Microstructure: Theory and Applications, 63-79, 2018
2018 Dynamic Bridges U Çetin, A Danilova, U Çetin, A Danilova
Dynamic Markov Bridges and Market Microstructure: Theory and Applications …, 2018
2018