EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
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Publication:5464337
DOI10.1111/J.0960-1627.2005.00212.XzbMATH Open1109.91026OpenAlexW2004656588MaRDI QIDQ5464337FDOQ5464337
Authors: Caroline Hillairet 
Publication date: 17 August 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00212.x
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Cites Work
- A monetary value for initial information in portfolio optimization
- Additional logarithmic utility of an insider
- Insider Trading in a Continuous Time Market Model
- Point processes and queues. Martingale dynamics
- Martingale representation theorems for initially enlarged filtrations.
- Title not available (Why is that?)
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- Sur l'int�grabilit� uniforme des martingales exponentielles
Cited In (7)
- Viable insider markets
- Pricing rules under asymmetric information
- Existence of Walrasian equilibria with discontinuous, non-ordered, interdependent and price-dependent preferences
- Comparison of insiders' optimal strategies depending on the type of side-information
- Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
- Portfolio optimization with insider's initial information and counterparty risk
- How does asymmetric information create market incompleteness?
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