Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps

DOI10.1016/j.spa.2005.05.006zbMath1083.60055OpenAlexW2033212386MaRDI QIDQ2572198

Anne Eyraud-Loisel

Publication date: 16 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2005.05.006

zbMATH Keywords

asymmetric informationinsider tradingmartingale representation

Mathematics Subject Classification ID

Related Items (19)

Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ BSDEs and Enlargement of Filtration ⋮ Backward stochastic differential equations with regime-switching and sublinear expectations ⋮ Backward stochastic differential equations with Markov chains and related asymptotic properties ⋮ A stochastic maximum principle in mean-field optimal control problems for jump diffusions ⋮ The stochastic Leibniz formula for Volterra integrals under enlarged filtrations ⋮ Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations ⋮ Optimal preview control for a linear continuous-time stochastic control system in finite-time horizon ⋮ Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps ⋮ Near optimality conditions in stochastic control of jump diffusion processes ⋮ The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions ⋮ Discrete-time approximation of decoupled Forward-Backward SDE with jumps ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Quadratic hedging in an incomplete market derived by an influential informed investor ⋮ How does asymmetric information create market incompleteness? ⋮ CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP ⋮ BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider ⋮ Option hedging by an influential informed investor ⋮ Optimal portfolio liquidation with additional information

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Martingale representation theorems for initially enlarged filtrations.
• Changes of filtrations and of probability measures
• Backward stochastic differential equations and integral-partial differential equations
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
• Insider Trading in a Continuous Time Market Model
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Comment détecter le délit d'initiés?
• Backward Stochastic Differential Equations in Finance
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• Probabilités neutres au risque et asymétrie d'information

This page was built for publication: Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps