scientific article; zbMATH DE number 1948558

MaRDI QIDQ4412150zbMATH OpenFDO

Authors Ching-Tang Wu

Publication date 13 July 2003

Full work available at URL http://dochost.rz.hu-berlin.de/dissertationen/mathe/wu-ching/tang/

zbMATH Keywords

Brownian motionsfinancial equilibrium modelsGaussian martingalesGaussian processesinsider strategiesVolterra kernels

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Trade models (91B60)

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Cited in

(8)

• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Equilibrium model with default and dynamic insider information
• Explicit construction of a dynamic Bessel bridge of dimension 3
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• KYLE–BACK’S MODEL WITH A RANDOM HORIZON
• On pricing rules and optimal strategies in general Kyle-Back models
• Dynamic Markov bridges motivated by models of insider trading

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