Incomplete markets with jumps and informed agents

DOI10.1007/s001860050082zbMath0940.91063OpenAlexW2041554824MaRDI QIDQ1974592

Robert J. Elliott, Monique Jeanblanc-Picqué

Publication date: 7 May 2000

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050082

zbMATH Keywords

Poisson processinsider tradinginvestment/consumption optimization

Mathematics Subject Classification ID

Mathematical economics (91B99) Stochastic processes (60G99)

Related Items (9)

Conditional Calculus on Poisson Space and Enlargement of Filtration ⋮ Market-making strategy with asymmetric information and regime-switching ⋮ Enlargement of filtration on Poisson space: a Malliavin calculus approach ⋮ Trading against disorderly liquidation of a large position under asymmetric information and market impact ⋮ Lévy random bridges and the modelling of financial information ⋮ The Value of Insight ⋮ Optimal portfolio for an insider in a market driven by Lévy processes§ ⋮ Comparison of insiders' optimal strategies depending on the type of side-information ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING

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