We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different...

We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective...

<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>