Additional utility of insiders with imperfect dynamical information
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Publication:1776012
DOI10.1007/S00780-003-0119-YzbMATH Open1064.60087OpenAlexW3122865301MaRDI QIDQ1776012FDOQ1776012
Authors: P. Imkeller, Arturo Kohatsu-Higa, David Nualart, José Manuel Corcuera 
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10230/406
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- Viable insider markets
- Optimal portfolio liquidation with additional information
- Successive enlargement of filtrations and application to insider information
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- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- Insiders' hedging in a jump diffusion model
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- Kyle equilibrium under random price pressure
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Log-optimal and numéraire portfolios for market models stopped at a random time
- Asymmetric information in fads models
- Modeling of financial markets with inside information in continuous time
- INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
- Credit risk with asymmetric information on the default threshold
- Insiders and outsiders and efficient asymmetric information contracts
- On the anticipative nonlinear filtering problem and its stability
- Should commodity investors follow commodities' prices?
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Stochastic differential games with asymmetric information
- Comparison of insiders' optimal strategies depending on the type of side-information
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Optimal portfolio for an insider in a market driven by Lévy processes§
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- On filtration enlargements and purely discontinuous martingales
- Bond prices under information asymmetry and a short rate with instantaneous feedback
- Insider models with finite utility in markets with jumps
- Information on jump sizes and hedging
- Enlargement of filtrations with random times for processes with jumps
- Insider information and its relation with the arbitrage condition and the utility maximization problem
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- Expansion of a filtration with a stochastic process: the information drift
- Anticipative information in a Brownian-Poisson market
- A market model with medium/long-term effects due to an insider
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
- Optimal investment with inside information and parameter uncertainty
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