IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812774637_0003.html
   My bibliography  Save this book chapter

A Large Trader-Insider Model

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Arturo Kohatsu-Higa

    (INRIA-Rocquencourt, Domaine de Voluceau, Rocquencourt, B.P.105, F-78153 Le Chesnay Cedex, France)

  • Agnès Sulem

    (INRIA-Rocquencourt, Domaine de Voluceau, Rocquencourt, B.P.105, F-78153 Le Chesnay Cedex, France)

Abstract

We give some remarks on the anticipating approach to insider modelling introduced by the authors recently. In particular, we define forward integrals by using limits of Riemmann sums. This definition is well adapted to financial applications.As an application, we consider a portfolio maximization problem of a large trader with insider information. We show that the forward integral is a natural tool to handle such problems and we compute the optimal portfolios for an insider and a small trader.

Suggested Citation

  • Arturo Kohatsu-Higa & Agnès Sulem, 2006. "A Large Trader-Insider Model," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 3, pages 101-124, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812774637_0003
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812774637_0003
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812774637_0003
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Francesca Biagini & Bernt Øksendal, 2006. "Minimal Variance Hedging For Insider Trading," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1351-1375.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812774637_0003. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.