Information on jump sizes and hedging

DOI10.1080/17442508.2014.895356MaRDI QIDQ2811114zbMATH OpenOpenAlexFDO

Authors Wanmo Kang, Kiseop Lee

Publication date 10 June 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2014.895356

zbMATH Keywords

incomplete markethedginginformation asymmetrylocal risk minimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• A general stochastic calculus approach to insider trading
• Additional utility of insiders with imperfect dynamical information
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Continuous Auctions and Insider Trading
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Insiders' hedging in a jump diffusion model
• Local risk minimization for defaultable markets
• Martingale representation theorems for initially enlarged filtrations.
• Minimal martingale measures for jump diffusion processes
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Optimal Smooth Portfolio Selection for an Insider
• Pricing contingent claims on stocks driven by Lévy processes
• Risk minimization with incomplete information in a model for high-frequency data
• Sur l'int�grabilit� uniforme des martingales exponentielles

Cited in

(6)

• Risk-minimizing hedging strategies with restricted information and cost
• Numerical analysis on local risk-minimization for exponential Lévy models
• Informed traders' hedging with news arrivals
• Insiders' hedging in a jump diffusion model
• Bond prices under information asymmetry and a short rate with instantaneous feedback
• Option hedging by an influential informed investor

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