ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
From MaRDI portal
Publication:3523573
DOI10.1142/S0219024901000961zbMath1154.91542OpenAlexW2028445671MaRDI QIDQ3523573
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
Related Items (20)
Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Conditional Default Probability and Density ⋮ Martingale measures in the market with restricted information ⋮ On arbitrages arising with honest times ⋮ MINIMAL VARIANCE HEDGING FOR INSIDER TRADING ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Pricing rules under asymmetric information ⋮ What happens after a default: the conditional density approach ⋮ Progressive enlargement of filtrations with initial times ⋮ How does asymmetric information create market incompleteness? ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET ⋮ The value of informational arbitrage ⋮ Extending pricing rules with general risk functions ⋮ Kyle equilibrium under random price pressure ⋮ Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps ⋮ Option hedging by an influential informed investor
Cites Work
- Optimal portfolio for a small investor in a market model with discontinuous prices
- A general version of the fundamental theorem of asset pricing
- Additional logarithmic utility of an insider
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- Insider Trading in a Continuous Time Market Model
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- On the minimal martingale measure and the möllmer-schweizer decomposition
This page was built for publication: ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
