Campi, Luciano; Cetin, Umut; Danilova, Albina - Université Paris-Dauphine (Paris IX) - 2013
We consider an equilibrium model á la Kyle-Back for a defaultable claim issued by a given firm. In such a market the insider observes \emph{continuously in time} the value of firm, which is unobservable by the market maker. Using the construction of a dynamic Bessel bridge of dimension $3$ in...