Models for Insider Trading with Finite Utility

DOI10.1007/978-3-540-73327-0_3zbMATH Open1152.91523OpenAlexW2211713772MaRDI QIDQ5435652FDOQ5435652

Authors: Arturo Kohatsu-Higa 

Publication date: 14 January 2008

Published in: Paris-Princeton Lectures on Mathematical Finance 2004 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-73327-0_3

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Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Generalizations of martingales (60G48) Stochastic models in economics (91B70)

Cited In (27)

• Title not available (Why is that?)
• An anticipative stochastic minimum principle under enlarged filtrations
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Kyle equilibrium under random price pressure
• Risk-sensitive portfolio optimization problem for a large trader with inside information
• Distribution function of the blow up time of the solution of an anticipating random fatigue equation
• Additional utility of insiders with imperfect dynamical information
• Enlarged filtrations and indistinguishable processes
• Two-period model of insider trading with correlated signals
• Initial enlargement in a Markov chain market model
• Modeling of financial markets with inside information in continuous time
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• The Value of Insight
• A Large Trader-Insider Model
• PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
• Title not available (Why is that?)
• UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
• Title not available (Why is that?)
• A general stochastic calculus approach to insider trading
• Insider models with finite utility in markets with jumps
• Insider Trading in a Continuous Time Market Model
• Insider information and its relation with the arbitrage condition and the utility maximization problem
• KYLE–BACK’S MODEL WITH A RANDOM HORIZON
• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• A market model with medium/long-term effects due to an insider

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