MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME (Q3173998): Difference between revisions

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+MaRDI publication profile
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+Martingale representation theorems for initially enlarged filtrations.
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+A monetary value for initial information in portfolio optimization
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+Additional logarithmic utility of an insider
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+The Shannon information of filtrations and the additional logarithmic utility of insiders
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+Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
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+Study of a filtration expanded to include an honest time
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+Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
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+Continuous auctions and insider trading: uniqueness and risk aversion
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+Additional utility of insiders with imperfect dynamical information
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+A general version of the fundamental theorem of asset pricing
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+The variance-optimal martingale measure for continuous processes
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+Insider Trading in a Continuous Time Market Model
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+Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
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+Random times at which insiders can have free lunches
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+Free lunch and arbitrage possibilities in a financial market model with an insider.
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+Semi-martingales et grossissement d'une filtration
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+Optimization Problems in the Theory of Continuous Trading
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Continuous Auctions and Insider Trading
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+Asymmetric information and imperfect competition in a continuous time multivariate security model
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+Random times and enlargements of filtrations in a Brownian setting.
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+An essay on the general theory of stochastic processes
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+The Malliavin Calculus and Related Topics
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+Anticipative portfolio optimization
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