Models for Insider Trading with Finite Utility
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Publication:5435652
DOI10.1007/978-3-540-73327-0_3zbMath1152.91523OpenAlexW2211713772MaRDI QIDQ5435652
Publication date: 14 January 2008
Published in: Paris-Princeton Lectures on Mathematical Finance 2004 (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-73327-0_3
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Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Risk-sensitive portfolio optimization problem for a large trader with inside information ⋮ INITIAL ENLARGEMENT IN A MARKOV CHAIN MARKET MODEL ⋮ PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS ⋮ KYLE–BACK’S MODEL WITH A RANDOM HORIZON ⋮ Distribution function of the blow up time of the solution of an anticipating random fatigue equation ⋮ Enlarged filtrations and indistinguishable processes ⋮ The Value of Insight ⋮ An anticipative stochastic minimum principle under enlarged filtrations ⋮ Kyle equilibrium under random price pressure ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
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