Finite utility on financial markets with asymmetric information and structure properties of the price dynamics

DOI10.1016/J.ANIHPB.2004.03.008MaRDI QIDQ2485322zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, P. Imkeller

Publication date 4 August 2005

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=AIHPB_2005__41_3_479_0, http://www.numdam.org/item?id=AIHPB_2005__41_3_479_0/, https://eudml.org/doc/77855

zbMATH Keywords

semimartingaleenlargement of filtrationinsider tradingarbitragefree lunch with vanishing risk(NFLVR)finite expected utilityinformation driftstochastic integrator

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• Financial markets with asymmetric information: information drift, additional utility and entropy
• Insider models with finite utility in markets with jumps
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Models for Insider Trading with Finite Utility

Cited in

(20)

• Time resolution of risk and asymmetric information: An application to financial market
• Modeling of financial markets with inside information in continuous time
• Log-optimal and numéraire portfolios for market models stopped at a random time
• Progressive filtration expansions via a process, with applications to insider trading
• On stochastic calculus related to financial assets without semimartingales
• On the semimartingale property of discounted asset-price processes
• Change of filtrations and mean–variance hedging
• Finite bubbles with short sale constraints and asymmetric information
• Repeated games with asymmetric information and random price fluctuations at finance markets
• The value of informational arbitrage
• On the semimartingale property via bounded logarithmic utility
• On arbitrages arising with honest times
• Utility maximization under a shortfall risk constraint
• Metrics on the set of semimartingale filtrations
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Monotone utility convergence
• Financial markets with asymmetric information: information drift, additional utility and entropy
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
• How non-arbitrage, viability and numéraire portfolio are related
• Insider information and its relation with the arbitrage condition and the utility maximization problem

This page was built for publication: Finite utility on financial markets with asymmetric information and structure properties of the price dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485322)