Insider models with finite utility in markets with jumps
DOI10.1007/S00245-011-9137-XzbMATH Open1237.91246OpenAlexW2046811638MaRDI QIDQ649119FDOQ649119
Authors: Arturo Kohatsu-Higa, Makoto Yamazato 
Publication date: 30 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-011-9137-x
Recommendations
Processes with independent increments; Lévy processes (60G51) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Cites Work
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Cited In (21)
- ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
- Models for Insider Trading with Finite Utility
- The insider trading problem in a jump-binomial model
- The value of insight
- Mean-variance asset-liability management with inside information
- Risk-sensitive portfolio optimization problem for a large trader with inside information
- Log-optimal and numéraire portfolios for market models stopped at a random time
- Insider problems for markets driven by Lévy processes
- Title not available (Why is that?)
- Additional utility of insiders with imperfect dynamical information
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- Arbitrage and utility maximization in market models with an insider
- Optimal utility with side information and its affect
- The insider-outsider model reexamined
- Optimal consumption and portfolio for an insider in a market with jumps
- Optimal investment and risk control for an insurer under inside information
- Portfolio optimization with insider's initial information and counterparty risk
- A minimizing shortfall risk strategy for an insider
- Enlargement of filtrations with random times for processes with jumps
- 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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