Asymmetric information and imperfect competition in a continuous time multivariate security model

DOI10.1007/s00780-003-0118-zzbMath1060.91092OpenAlexW2029562358MaRDI QIDQ1887277

Guillaume Lasserre

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0118-z

zbMATH Keywords

portfolio optimizationequilibrium theorypricing in continuous time

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Trade models (91B60) Martingales with continuous parameter (60G44)

Related Items (10)

MODELING OF FINANCIAL MARKETS WITH INSIDE INFORMATION IN CONTINUOUS TIME ⋮ Towards a self-consistent theory of volatility ⋮ Kyle-back models with risk aversion and non-Gaussian beliefs ⋮ The Multivariate Kyle Model: More is Different ⋮ PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Pricing rules under asymmetric information ⋮ Mean field games ⋮ Large investor trading impacts on volatility ⋮ Kyle equilibrium under random price pressure

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