MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
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Cites work
- A general stochastic calculus approach to insider trading
- A monetary value for initial information in portfolio optimization
- A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
- Additional logarithmic utility of an insider
- Additional utility of insiders with imperfect dynamical information
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Dynamic programming and mean-variance hedging
- Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
- Forward, backward and symmetric stochastic integration
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
- scientific article; zbMATH DE number 41105 (Why is no real title available?)
- Insider Trading in a Continuous Time Market Model
- Itô's lemma without non-anticipatory conditions
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- Mean-variance hedging for continuous processes: New proofs and examples
- Mean-variance hedging for stochastic volatility models
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Random times at which insiders can have free lunches
- Stochastic calculus with anticipating integrands
- Stochastic calculus with respect to continuous finite quadratic variation processes
- Stochastic differential equations. An introduction with applications.
- The generalized covariation process and Itô formula
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- White noise approach to stochastic integration
Cited in
(22)- Linear quadratic nonzero sum differential games with asymmetric information
- Minimal variance hedging in multicurve interest rate modeling
- Kyle equilibrium under random price pressure
- Quantile hedging for an insider
- BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider
- Stock market insider trading in continuous time with imperfect dynamic information
- A minimizing shortfall risk strategy for an insider
- PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- An anticipative stochastic minimum principle under enlarged filtrations
- Optimal hedging in incomplete markets
- The VIX and future information
- Enlarged filtrations and indistinguishable processes
- Insiders' hedging in a stochastic volatility model
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Insiders' hedging in a jump diffusion model
- Some results on quadratic hedging with insider trading
- The insider trading problem in a jump-binomial model
- Pricing and hedging of temperature derivatives in a model with memory
- On the pricing and hedging of precipitation derivatives
- A partially observed nonzero-sum differential game of mean-field backward doubly stochastic systems
- Nonzero-sum differential game of backward doubly stochastic systems with delay and applications
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