Models for Insider Trading with Finite Utility

DOI10.1007/978-3-540-73327-0_3MaRDI QIDQ5435652zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa

Publication date 14 January 2008

Published in Paris-Princeton Lectures on Mathematical Finance 2004 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-73327-0_3

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic models in economics (91B70)

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Cited in

(32)

• Risk-sensitive portfolio optimization problem for a large trader with inside information
• Arbitrage and utility maximization in market models with an insider
• Additional utility of insiders with imperfect dynamical information
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• Insider information and its relation with the arbitrage condition and the utility maximization problem
• Kyle equilibrium under random price pressure
• Two-period model of insider trading with correlated signals
• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• A general stochastic calculus approach to insider trading
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• scientific article; zbMATH DE number 6719720 (Why is no real title available?)
• scientific article; zbMATH DE number 5990435 (Why is no real title available?)
• scientific article; zbMATH DE number 5990510 (Why is no real title available?)
• Initial enlargement in a Markov chain market model
• Modeling of financial markets with inside information in continuous time
• The value of insight
• Insider Trading in a Continuous Time Market Model
• Comment détecter le délit d'initiés?
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• KYLE–BACK’S MODEL WITH A RANDOM HORIZON
• An anticipative stochastic minimum principle under enlarged filtrations
• Short communication: Chances for the honest in honest versus insider trading
• Enlarged filtrations and indistinguishable processes
• Successive enlargement of filtrations and application to insider information
• Progressive filtration expansions via a process, with applications to insider trading
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
• A Large Trader-Insider Model
• A market model with medium/long-term effects due to an insider
• Insider models with finite utility in markets with jumps
• Optimal investment with insider information using Skorokhod \& Russo-Vallois integration

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