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Enlargement of Filtrations and Models for Insider Trading

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Arturo Kohatsu-Higa

    (Universitat Pompeu Fabra, Department of Economics and Business, Ramón Trias Fargas 25-27, 08005 Barcelona, Spain)

Abstract

In this paper we review recent results on models for insider trading based on the theory of enlargement of filtrations. In particular, we concentrate on the case of strong type of insiders. That is, insiders that have additional information in the a.s. sense. We explain how to treat the utility maximization problem for insiders using the enlargement of filtration technique.

Suggested Citation

  • Arturo Kohatsu-Higa, 2004. "Enlargement of Filtrations and Models for Insider Trading," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 8, pages 151-165, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0008
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    Citations

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    Cited by:

    1. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
    2. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
    3. Yukihiro Tsuzuki, 2023. "Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers," Papers 2303.13956, arXiv.org.
    4. Elhiwi, Majdi, 2014. "Default barrier intensity model for credit risk evaluation," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 125-131.

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