Some results on quadratic hedging with insider trading
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Publication:5704639
DOI10.1080/17442500500183503zbMath1103.91032OpenAlexW2064232486MaRDI QIDQ5704639
Publication date: 15 November 2005
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2434/751002
insider tradingstochastic volatility modelsinitial enlargement of filtrationslocal risk minimizationmean-variance hedgingmartingale preserving measure
Related Items (6)
Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ Optimal investment with inside information and parameter uncertainty ⋮ Linear quadratic nonzero sum differential games with asymmetric information ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ The Shannon information of filtrations and the additional logarithmic utility of insiders ⋮ Model-independent pricing with insider information: a skorokhod embedding approach
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- Anticipative portfolio optimization
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