Danilova, Albina

Dr Albina Danilova  

Department

Position held

Assistant Professor

 

Experience keywords:

asymmetric information; derivative pricing; enlargement of filtrations; equilibrium; filtering; insider trading; price impact; stochastic calculus; stochastic control; stochastic volatility

Sectors and industries to which research relates:

Banking; Financial Services

Languages:

Italian [Spoken: Basic, Written: Basic]; Russian [Spoken: Fluent, Written: N/A]

Contact Points

LSE phone number:

+44 (0)207 955 7371

Publications

2015

Çetin, Umut and Danilova, Albina (2015) Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems Annals of Applied Probability. ISSN 1050-5164

2014

Danilova, Albina and Julliard, Christian (2014) Information asymmetries, volatility, liquidity, and the Tobin Tax SRC Discussion Series, SRC Discussion Paper No 24. The London School of Economics and Political Science ,SRC Discussion Paper, London, UK.

2013

Campi, Luciano and Cetin, Umut and Danilova, Albina (2013) Equilibrium model with default and dynamic insider information Finance and Stochastics, 17 (347). 565-585. ISSN 0949-2984

Campi, Luciano and Cetin, Umut and Danilova, Albina (2013) Explicit construction of a dynamic Bessel bridge of dimension 3 Electronic Journal of Probability, 18 (20). 1-25. ISSN 1083-6489

2011

Campi, Luciano and Cetin, Umut and Danilova, Albina (2011) Dynamic Markov bridges motivated by models of insider trading Stochastic Processes and Their Applications, 121 (3). 534-567. ISSN 0304-4149

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. ISSN 1744-2508

Danilova, Albina and Monoyios, Michael and Ng, Andrew (2010) Optimal investment with inside information and parameter uncertainty Mathematics and Financial Economics, 3 (1). 13-38. ISSN 1862-9679

2009

Danilova, Albina and Monoyios, Michael and Ng, Andrew (2009) Optimal investment with inside information and parameter uncertainty arXiv.

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