Browsing Matematisk institutt by Author "Farkas, Gergely"

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  • A continuous auction model with insiders and random time of information release 
    Corcuera, José Manuel; Di Nunno, Giulia; Farkas, Gergely; Øksendal, Bernt (Research report / Forskningsrapport, 2014)
  • Kyle-Back's model with Lévy noise 
    Corcuera, José Manuel; Farkas, Gergely; Di Nunno, Giulia; Øksendal, Bernt (Research report / Forskningsrapport, 2010)
    The continuous-time version of Kyle's [6] model, known as the Back's [2] model, of asset pricing with asymmetric information, is studied. A larger class of price processes and a larger classes of noise traders' processes ...