ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
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Publication:3523573
DOI10.1142/S0219024901000961zbMATH Open1154.91542OpenAlexW2028445671MaRDI QIDQ3523573FDOQ3523573
Authors: A. Grorud, Monique Pontier 
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901000961
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Cites Work
- A general version of the fundamental theorem of asset pricing
- Additional logarithmic utility of an insider
- Insider Trading in a Continuous Time Market Model
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- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- Sur l'int�grabilit� uniforme des martingales exponentielles
- Optimal portfolio for a small investor in a market model with discontinuous prices
Cited In (34)
- Incomplete financial markets and differential information
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- Title not available (Why is that?)
- Pricing rules under asymmetric information
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- On arbitrages arising with honest times
- Title not available (Why is that?)
- Kyle equilibrium under random price pressure
- Title not available (Why is that?)
- What happens after a default: the conditional density approach
- Martingale measures in the market with restricted information
- Elimination of arbitrage states in asymmetric information models
- INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES
- Market-making strategy with asymmetric information and regime-switching
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Asymmetry of Risk and Value of Information
- Arbitrage and price revelation with asymmetric information and incomplete markets
- Informational asymmetries and a multiplier effect on price correlation and trading
- The value of informational arbitrage
- Semi-static completeness and robust pricing by informed investors
- Analyzing online B2B exchange markets: asymmetric cost and incomplete information
- How does asymmetric information create market incompleteness?
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- Progressive enlargement of filtrations with initial times
- Progressive enlargements of filtrations with pseudo-honest times
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Imperfect information transmission and adverse selection in asset markets
- Conditional default probability and density
- Option hedging by an influential informed investor
- Title not available (Why is that?)
- KYLE–BACK’S MODEL WITH A RANDOM HORIZON
- Extending pricing rules with general risk functions
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
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