LSE creators

Number of items: 12.
2025
  • Cetin, Umut, Danilova, Albina (2025). Order routing and market quality who benefits from internalization? Mathematical Finance, https://doi.org/10.1111/mafi.70014 picture_as_pdf
    • 2021
  • Cetin, Umut, Danilova, Albina (2021). On pricing rules and optimal strategies in general Kyle-Back models. SIAM Journal on Control and Optimization, 59(5), 3973 – 3998. https://doi.org/10.1137/20M1319267 picture_as_pdf
    • 2016
  • Çetin, Umut, Danilova, Albina (2016). Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems. Annals of Applied Probability, 26(4), 1996-2029. https://doi.org/10.1214/15-AAP1138
  • Çetin, Umut, Danilova, Albina (2016). Markov bridges: SDE representation. Stochastic Processes and Their Applications, 126(3), 651 - 679. https://doi.org/10.1016/j.spa.2015.09.015
    • 2015
  • Danilova, Albina, 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. picture_as_pdf
    • 2014
  • Danilova, Albina, 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.
    • 2013
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Equilibrium model with default and dynamic insider information. Finance and Stochastics, 17(347), 565-585. https://doi.org/10.1007/s00780-012-0196-x
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2013). Explicit construction of a dynamic Bessel bridge of dimension 3. Electronic Journal of Probability, 18(20), 1-25. https://doi.org/10.1214/EJP.v18-1907
    • 2011
  • Campi, Luciano, Cetin, Umut, Danilova, Albina (2011). Dynamic Markov bridges motivated by models of insider trading. Stochastic Processes and Their Applications, 121(3), 534-567. https://doi.org/10.1016/j.spa.2010.11.004
    • 2010
  • 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), 111-131. https://doi.org/10.1080/17442500903106614
  • Danilova, Albina, Monoyios, Michael, Ng, Andrew (2010). Optimal investment with inside information and parameter uncertainty. Mathematics and Financial Economics, 3(1), 13-38. https://doi.org/10.1007/s11579-010-0025-y
    • 2009
  • Danilova, Albina, Monoyios, Michael, Ng, Andrew (2009). Optimal investment with inside information and parameter uncertainty. arXiv.