scientific article; zbMATH DE number 1323998
From MaRDI portal
Publication:4255370
Cited in
(20)- Further results on some singular linear stochastic differential equations
- Optimal investment in markets with over and under-reaction to information
- The dynamic spread of the forward CDS with general random loss
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis
- Stochastic integrals and two filtrations
- Explicit description of all deflators for market models under random horizon with applications to NFLVR
- How does asymmetric information create market incompleteness?
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Pricing and valuation under the real-world measure
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Option hedging by an influential informed investor
- Relative volume as a doubly stochastic binomial point process
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- Conditional default probability and density
- The meaning of market efficiency
- Viable insider markets
- Quadratic hedging in an incomplete market derived by an influential informed investor
- Some Remarks on Enlargement of Filtration and Finance
- What happens after a default: the conditional density approach
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4255370)