Random times at which insiders can have free lunches

DOI10.1080/10451120290024892zbMath1041.91034OpenAlexW1976317417MaRDI QIDQ4799436

Peter Imkeller

Publication date: 2002

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4252

zbMATH Keywords

diffusion processarbitrageinsidertime continuous financial markets

Mathematics Subject Classification ID

Related Items (29)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME ⋮ A reading guide for last passage times with financial applications in view ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ The value of foresight ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Optimal investment with inside information and parameter uncertainty ⋮ No-arbitrage under a class of honest times ⋮ Bridging the first and last passage times for Lévy models ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Insider models with finite utility in markets with jumps ⋮ On arbitrages arising with honest times ⋮ Structure Conditions under Progressively Added Information ⋮ MINIMAL VARIANCE HEDGING FOR INSIDER TRADING ⋮ Enlargement of filtrations with random times for processes with jumps ⋮ Some results on quadratic hedging with insider trading ⋮ Default times, no-arbitrage conditions and changes of probability measures ⋮ A market model with medium/long-term effects due to an insider ⋮ Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches ⋮ The Shannon information of filtrations and the additional logarithmic utility of insiders ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ Information, no-arbitrage and completeness for asset price models with a change point ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ Successive enlargement of filtrations and application to insider information ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Comparison of insiders' optimal strategies depending on the type of side-information ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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