MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
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Publication:5386319
DOI10.1142/S0219024906003998zbMath1134.91397OpenAlexW2131465860MaRDI QIDQ5386319
Francesca Biagini, Bernt Øksendal
Publication date: 14 May 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003998
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Nonzero-sum differential game of backward doubly stochastic systems with delay and applications ⋮ THE VIX AND FUTURE INFORMATION ⋮ PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS ⋮ The insider trading problem in a jump-binomial model ⋮ Linear quadratic nonzero sum differential games with asymmetric information ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Optimal investment and reinsurance policies in insurance markets under the effect of inside information ⋮ Stock market insider trading in continuous time with imperfect dynamic information ⋮ Minimal variance hedging in multicurve interest rate modeling ⋮ Enlarged filtrations and indistinguishable processes ⋮ An anticipative stochastic minimum principle under enlarged filtrations ⋮ Optimal Hedging in Incomplete Markets ⋮ Kyle equilibrium under random price pressure
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