Markovian Nash equilibrium in financial markets with asymmetric information and related forward–backward systems
Work
Year: 2016
Type: article
Abstract: This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk n... more
Authors Umut Çetın, Albina Danilova
Institution London School of Economics and Political Science
Cites: 40
Cited by: 16
Related to: 10
FWCI: 6.226
Citation percentile (by year/subfield): 92.73
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: hybrid