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Kyle—Back Model with Default and Dynamic Information

  • Umut Çetin
  • Albina Danilova
Chapter
  • 451 Downloads
Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 90)

Abstract

In this chapter we will continue applying the dynamic bridge construction from Chap.  5 to solve the Kyle–Back model in the case of dynamic information and default risk.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  • Umut Çetin
    • 1
  • Albina Danilova
    • 2
  1. 1.Department of StatisticsLondon School of EconomicsLondonUK
  2. 2.Department of MathematicsLondon School of EconomicsLondonUK

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