Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
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Publication:4409043
DOI10.1111/1467-9965.00011zbMATH Open1071.91017OpenAlexW3122831581MaRDI QIDQ4409043FDOQ4409043
Authors: P. Imkeller 
Publication date: 16 December 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/65293
Recommendations
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
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- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Models for Insider Trading with Finite Utility
Auctions, bargaining, bidding and selling, and other market models (91B26) General theory of stochastic processes (60G07)
Cites Work
- A general version of the fundamental theorem of asset pricing
- Additional logarithmic utility of an insider
- Title not available (Why is that?)
- Insider Trading in a Continuous Time Market Model
- Title not available (Why is that?)
- Anticipative portfolio optimization
- Title not available (Why is that?)
- Title not available (Why is that?)
- Semi-martingales et grossissement d'une filtration
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Random times at which insiders can have free lunches
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- Title not available (Why is that?)
- Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
- Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
- Title not available (Why is that?)
- Title not available (Why is that?)
Cited In (33)
- Random times at which insiders can have free lunches
- Optimal consumption and portfolio choice with ambiguity and anticipation
- Market Models with Optimal Arbitrage
- Successive enlargement of filtrations and application to insider information
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Models for Insider Trading with Finite Utility
- The insider trading problem in a jump-binomial model
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Metrics on the set of semimartingale filtrations
- Financial markets with asymmetric information: information drift, additional utility and entropy
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Initial enlargement of filtrations and entropy of Poisson compensators
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- On filtration enlargements and purely discontinuous martingales
- Integration by parts and martingale representation for a Markov chain
- Progressive enlargements of filtrations with pseudo-honest times
- Generalized Gaussian bridges
- Enlargement of filtration on Poisson space: a Malliavin calculus approach
- Term structure of credit spreads with learning and anticipation effects
- Insider Trading in Convergent Markets
- Expansion of a filtration with a stochastic process: the information drift
- Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
- A market model with medium/long-term effects due to an insider
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
- OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
- Optimal investment with inside information and parameter uncertainty
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