ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
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Publication:4528081
DOI10.1142/S0219024900000802zbMATH Open0962.91038MaRDI QIDQ4528081FDOQ4528081
Authors: A. Grorud 
Publication date: 2000
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial applications of other theories (91G80)
Cites Work
- Insider Trading in a Continuous Time Market Model
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Sur l'int�grabilit� uniforme des martingales exponentielles
- Martingale Analysis for Assets with Discontinuous Returns
- Portfolio optimization and contingent claim pricing with differential information
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
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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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