scientific article; zbMATH DE number 1948558

zbMath1041.91042MaRDI QIDQ4412150

Ching-Tang Wu

Publication date: 13 July 2003

Full work available at URL: http://dochost.rz.hu-berlin.de/dissertationen/mathe/wu-ching/tang/

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zbMATH Keywords

Gaussian processesVolterra kernelsBrownian motionsGaussian martingalesfinancial equilibrium modelsinsider strategies

Mathematics Subject Classification ID

Trade models (91B60) Martingales and classical analysis (60G46)

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Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading ⋮ Free lunch and arbitrage possibilities in a financial market model with an insider. ⋮ Equilibrium model with default and dynamic insider information ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ On Pricing Rules and Optimal Strategies in General Kyle--Back Models ⋮ Dynamic Markov bridges motivated by models of insider trading ⋮ Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

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