ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS

DOI10.1142/S0219024901000961zbMath1154.91542OpenAlexW2028445671MaRDI QIDQ3523573

A. Grorud, Monique Pontier

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901000961

Mathematics Subject Classification ID

Trade models (91B60) Economics of information (91B44)

Related Items (20)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Conditional Default Probability and Density ⋮ Martingale measures in the market with restricted information ⋮ On arbitrages arising with honest times ⋮ MINIMAL VARIANCE HEDGING FOR INSIDER TRADING ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Pricing rules under asymmetric information ⋮ What happens after a default: the conditional density approach ⋮ Progressive enlargement of filtrations with initial times ⋮ How does asymmetric information create market incompleteness? ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Progressive enlargements of filtrations with pseudo-honest times ⋮ UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET ⋮ The value of informational arbitrage ⋮ Extending pricing rules with general risk functions ⋮ Kyle equilibrium under random price pressure ⋮ Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps ⋮ Option hedging by an influential informed investor

Cites Work

• Optimal portfolio for a small investor in a market model with discontinuous prices
• A general version of the fundamental theorem of asset pricing
• Additional logarithmic utility of an insider
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Insider Trading in a Continuous Time Market Model
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• On the minimal martingale measure and the möllmer-schweizer decomposition

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