Short Communication: Chances for the Honest in Honest versus Insider Trading

DOI10.1137/21M1439547zbMath1491.91129arXiv2106.10033OpenAlexW4225274961MaRDI QIDQ5080125

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Publication date: 31 May 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.10033

zbMATH Keywords

portfolio optimizationinsider tradingforward integralanticipating calculus

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

• A Donsker delta functional approach to optimal insider control and applications to finance
• Mathematical methods for financial markets.
• Forward, backward and symmetric stochastic integration
• The generalized covariation process and Itô formula
• A general stochastic calculus approach to insider trading
• Stochastic differential games with inside information
• Optimal insider control and semimartingale decompositions under enlargement of filtration
• Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
• The Malliavin Calculus and Related Topics
• On a Generalization of a Stochastic Integral
• Anticipative portfolio optimization
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Stochastic calculus with respect to continuous finite quadratic variation processes
• A simple comparison between Skorokhod & Russo-Vallois integration for insider trading
• Elements of Stochastic Calculus via Regularization
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• A White Noise Approach to Insider Trading

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