Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
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Publication:4409043
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Cites work
- A general version of the fundamental theorem of asset pricing
- Additional logarithmic utility of an insider
- Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
- Anticipative portfolio optimization
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
- Free lunch and arbitrage possibilities in a financial market model with an insider.
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- Insider Trading in a Continuous Time Market Model
- Random times at which insiders can have free lunches
- Semi-martingales et grossissement d'une filtration
Cited in
(36)- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Integration by parts and martingale representation for a Markov chain
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Optimal investment with inside information and parameter uncertainty
- What if we knew what the future brings? Optimal investment for a frontrunner with price impact
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Optimal consumption and portfolio choice with ambiguity and anticipation
- Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
- Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
- The Shannon information of filtrations and the additional logarithmic utility of insiders
- Progressive enlargements of filtrations with pseudo-honest times
- Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
- Term structure of credit spreads with learning and anticipation effects
- OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
- Financial markets with asymmetric information: information drift, additional utility and entropy
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- Random times at which insiders can have free lunches
- Enlargement of filtration on Poisson space: a Malliavin calculus approach
- Successive enlargement of filtrations and application to insider information
- Market Models with Optimal Arbitrage
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Models for Insider Trading with Finite Utility
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- Metrics on the set of semimartingale filtrations
- Insider Trading in Convergent Markets
- A market model with medium/long-term effects due to an insider
- The insider trading problem in a jump-binomial model
- A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
- Expansion of a filtration with a stochastic process: the information drift
- Initial enlargement of filtrations and entropy of Poisson compensators
- Valuation and optimal exercise of derivatives under private information
- Optimal portfolios with anticipating information on the stochastic interest rate
- The value of insider information for super-replication with quadratic transaction costs
- Generalized Gaussian bridges
- On filtration enlargements and purely discontinuous martingales
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