An Anticipating Calculus Approach to the Utility Maximization of an Insider
From MaRDI portal
Publication:4409044
Recommendations
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- A general maximum principle for anticipative stochastic control and applications to insider trading
- Arbitrage and utility maximization in market models with an insider
- Logarithmic utility maximization for insiders in progressively enlarged filtrations
- A general stochastic calculus approach to insider trading
- OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
- Expected utility maximization for an insurer with investment and risk control under inside information
- Insider models with finite utility in markets with jumps
- Models for Insider Trading with Finite Utility
Cites work
- Additional logarithmic utility of an insider
- An extension of Itô's formula for anticipating processes
- Anticipative portfolio optimization
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Convex duality in constrained portfolio optimization
- Forward, backward and symmetric stochastic integration
- scientific article; zbMATH DE number 1223661 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 3398554 (Why is no real title available?)
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Martingale representation theorems for initially enlarged filtrations.
- Optimization Problems in the Theory of Continuous Trading
Cited in
(29)- Integration by parts and martingale representation for a Markov chain
- Informational inefficiency in financial markets
- Distribution function of the blow up time of the solution of an anticipating random fatigue equation
- Gaussian random bridges and a geometric model for information equilibrium
- Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than 1/2
- The Malliavin gradient method for the calibration of stochastic dynamical models
- Information and optimal investment in defaultable assets
- 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 and risk control for an insurer under inside information
- Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
- A simple comparison between Skorokhod \& Russo-Vallois integration for insider trading
- Influence of risk tolerance on long-term investments: a Malliavin calculus approach
- Logarithmic utility maximization for insiders in progressively enlarged filtrations
- Short communication: Chances for the honest in honest versus insider trading
- A general maximum principle for anticipative stochastic control and applications to insider trading
- MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
- Quadratic hedging in an incomplete market derived by an influential informed investor
- A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method
- Insider Trading in Convergent Markets
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
- On stochastic calculus related to financial assets without semimartingales
- Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study
- Mean-variance asset-liability management with inside information
- HJB equation for maximization of wealth under insider trading
- Optimal investment with insider information using Skorokhod \& Russo-Vallois integration
- Local asymptotic properties for the growth rate of a jump-type CIR process
- Stability of some anticipating semilinear stochastic differential equations of Skorohod type
This page was built for publication: An Anticipating Calculus Approach to the Utility Maximization of an Insider
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4409044)
