The exp-UIV for Markets with Partial Information and Complete Information

DOI10.1080/07362994.2014.939540zbMath1311.91199OpenAlexW2059448604MaRDI QIDQ2929467

Dewen Xiong

Publication date: 12 November 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.939540

zbMATH Keywords

enlargement of filtrationBSDE techniquesdynamic exp-UIVjump markets w.r.t. different filtrations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Cites Work

• Calcul stochastique et problèmes de martingales
• A monetary value for initial information in portfolio optimization
• The minimal entropy martingale measures for geometric Lévy processes
• A semimartingale BSDE related to the minimal entropy martingale measure
• Additional logarithmic utility of an insider
• Optimal trading strategy for an investor: the case of partial information
• An example of indifference prices under exponential preferences
• Utility maximization with partial information
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Dynamic exponential utility indifference valuation
• Changes of filtrations and of probability measures
• Optimal Exponential Utility in a Jump Bond Market
• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• Exponential Hedging and Entropic Penalties

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