ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS

DOI10.1142/S0219024900000802MaRDI QIDQ4528081zbMATH OpenFDO

Authors A. Grorud

Publication date 2000

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

insider tradingenlargement of filtrationsBrownian-Poisson mixed diffusion

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial applications of other theories (91G80)

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Cites work

• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Insider Trading in a Continuous Time Market Model
• Martingale Analysis for Assets with Discontinuous Returns
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Portfolio optimization and contingent claim pricing with differential information
• Sur l'int�grabilit� uniforme des martingales exponentielles

Cited in

(17)

• Time resolution of risk and asymmetric information: An application to financial market
• EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
• A jump model for fads in asset prices under asymmetric information
• A discontinuous mispricing model under asymmetric information
• scientific article; zbMATH DE number 2058904 (Why is no real title available?)
• scientific article; zbMATH DE number 5637944 (Why is no real title available?)
• Market-making strategy with asymmetric information and regime-switching
• Comparison of insiders' optimal strategies depending on the type of side-information
• Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
• Informational asymmetries and a multiplier effect on price correlation and trading
• How does asymmetric information create market incompleteness?
• Optimal portfolio for an insider in a market driven by Lévy processes§
• The exp-UIV for markets with partial information and complete information
• Insider models with finite utility in markets with jumps
• Enlargement of filtrations with random times for processes with jumps
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
• Anticipative information in a Brownian-Poisson market

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