Some results on quadratic hedging with insider trading

DOI10.1080/17442500500183503zbMath1103.91032OpenAlexW2064232486MaRDI QIDQ5704639

Luciano Campi

Publication date: 15 November 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/751002

zbMATH Keywords

insider tradingstochastic volatility modelsinitial enlargement of filtrationslocal risk minimizationmean-variance hedgingmartingale preserving measure

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Generalizations of martingales (60G48)

Related Items

Nonzero-sum differential game of backward doubly stochastic systems with delay and applications, Optimal investment with inside information and parameter uncertainty, Linear quadratic nonzero sum differential games with asymmetric information, The strong predictable representation property in initially enlarged filtrations under the density hypothesis, The Shannon information of filtrations and the additional logarithmic utility of insiders, Model-independent pricing with insider information: a skorokhod embedding approach

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