Hillairet, Caroline; Jiao, Ying - In: Finance and Stochastics 19 (2015) 1, pp. 109-134
<Para ID="Par1">We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits a random threshold L. The insider knows this threshold (as it can be the case for the manager...</para>