scientific article; zbMATH DE number 1985273
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Publication:4429137
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(16)- The financial value of a weak information on a financial market
- Conditioning and initial enlargement of filtration on a Riemannian manifold.
- BSDEs driven by Lévy process with enlarged filtration and applications in finance
- Optimal portfolio liquidation with additional information
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Robust utility maximization without model compactness
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- Trading against disorderly liquidation of a large position under asymmetric information and market impact
- Portfolio optimization with insider's initial information and counterparty risk
- Strongly constrained stochastic processes: the multi-ends Brownian bridge
- Anticipative information in a Brownian-Poisson market
- The information premium on a finite probability space
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- Optimal portfolios with anticipating information on the stochastic interest rate
- Enlargement of filtrations with random times for processes with jumps
- Predictability and unpredictability in financial markets
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