Anticipative information in a Brownian-Poisson market

DOI10.1007/S10479-022-05060-0MaRDI QIDQ6549632zbMATH OpenFDO

Authors Bernardo D'Auria, José Antonio Salmerón

Publication date 4 June 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-022-05060-0

zbMATH Keywords

Clark-Ocone formulainsider informationMalliavin calculusoptimal portfoliovalue of the information

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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Cites work

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Cited in

(2)

• Valuation and optimal exercise of derivatives under private information
• Optimal portfolios with anticipating information on the stochastic interest rate

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