ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS

DOI10.1142/S0219024900000802zbMath0962.91038MaRDI QIDQ4528081

A. Grorud

Publication date: 2000

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

zbMATH Keywords

insider tradingenlargement of filtrationsBrownian-Poisson mixed diffusion

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (9)

A discontinuous mispricing model under asymmetric information ⋮ ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS ⋮ Insider models with finite utility in markets with jumps ⋮ Enlargement of filtrations with random times for processes with jumps ⋮ How does asymmetric information create market incompleteness? ⋮ EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS ⋮ Optimal portfolio for an insider in a market driven by Lévy processes§ ⋮ Comparison of insiders' optimal strategies depending on the type of side-information ⋮ Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps

Cites Work

• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Insider Trading in a Continuous Time Market Model
• Portfolio optimization and contingent claim pricing with differential information
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Martingale Analysis for Assets with Discontinuous Returns

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