FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

DOI10.1142/S0219024905003219zbMath1138.91445MaRDI QIDQ5704728

Monique Pontier, A. Grorud

Publication date: 15 November 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

additional informationinfluential investorinsider trading test

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

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Cites Work

• Optimal consumption choices for a `large' investor
• Additional logarithmic utility of an insider
• Martingale representation theorems for initially enlarged filtrations.
• ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Insider Trading in a Continuous Time Market Model
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets