Insiders and Their Free Lunches: The Role of Short Positions

DOI10.1137/20M1375826zbMath1505.91362arXiv2012.00359OpenAlexW3108794015MaRDI QIDQ5097220

Publication date: 22 August 2022

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

Full work available at URL: https://arxiv.org/abs/2012.00359

zbMATH Keywords

minimal martingale measure arbitrages insider trading model minimal supermartingale measure short sales restrictions

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales and classical analysis (60G46) Financial markets (91G15)

Related Items (1)

Exploiting arbitrage requires short selling

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
On arbitrages arising with honest times
Arbitrage opportunities in diverse markets via a non-equivalent measure change
Martingale densities for general asset prices
Martingale laws, densities and decomposition of Föllmer-Schweizer
The fundamental theorem of asset pricing for unbounded stochastic processes
The fundamental theorem of asset pricing with cone constraints
A general version of the fundamental theorem of asset pricing
The Dalang-Morton-Willinger theorem under cone constraints.
Arbitrage and utility maximization in market models with an insider
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Default times, no-arbitrage conditions and changes of probability measures
Additional logarithmic utility of an insider
A stochastic calculus model of continuous trading: Complete markets
Hazard rate for credit risk and hedging defaultable contingent claims
Arbitrage possibilities in Bessel processes and their relations to local martingales
Enlargements of filtrations and path decompositions at non stopping times
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
The numéraire portfolio in semimartingale financial models
Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
Comparison of insiders' optimal strategies depending on the type of side-information
On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
Changes of filtrations and of probability measures
ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
Enlargement of Filtration with Finance in View
A Systematic Approach to Constructing Market Models with Arbitrage
A Simple Counterexample to Several Problems in the Theory of Asset Pricing
Insider Trading in a Continuous Time Market Model
Random times at which insiders can have free lunches
Market Models with Optimal Arbitrage

This page was built for publication: Insiders and Their Free Lunches: The Role of Short Positions