Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
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Publication:4409043
DOI10.1111/1467-9965.00011zbMath1071.91017OpenAlexW3122831581MaRDI QIDQ4409043
Publication date: 16 December 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/65293
General theory of stochastic processes (60G07) Auctions, bargaining, bidding and selling, and other market models (91B26)
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Cites Work
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- Semi-martingales et grossissement d'une filtration
- Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
- A general version of the fundamental theorem of asset pricing
- Additional logarithmic utility of an insider
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin's calculus
- Insider Trading in a Continuous Time Market Model
- Anticipative portfolio optimization
- Random times at which insiders can have free lunches
