Insider Trading in Convergent Markets

DOI10.1080/1350486042000325160zbMath1107.91047OpenAlexW1990761114MaRDI QIDQ5700150

Mattias Jonsson, Jan Večeř

Publication date: 27 October 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000325160

zbMATH Keywords

optimal trading strategiesconvergent stocksmargin constraints

Mathematics Subject Classification ID

Cites Work

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• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• A general stochastic calculus approach to insider trading
• Anticipative portfolio optimization
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• An Anticipating Calculus Approach to the Utility Maximization of an Insider

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