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Incomplete markets with jumps and informed agents

Author

Listed:
  • Robert J. Elliott
  • Monique Jeanblanc

Abstract

An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson process. Various items of future information about the price process are considered available to an informed agent. The optimal attainable wealths of both informed and uninformed agents are compared in the case where the informed agent knows the total number of jumps. Copyright Springer-Verlag Berlin Heidelberg 1999

Suggested Citation

  • Robert J. Elliott & Monique Jeanblanc, 1999. "Incomplete markets with jumps and informed agents," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(3), pages 475-492, December.
    • Handle: RePEc:spr:mathme:v:50:y:1999:i:3:p:475-492
    DOI: 10.1007/s001860050082
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    Citations

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    Cited by:

    1. Yang, Qing-Qing & Ching, Wai-Ki & Gu, Jia-Wen & Siu, Tak-Kuen, 2018. "Market-making strategy with asymmetric information and regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 408-433.
    2. Hillairet, Caroline, 2005. "Comparison of insiders' optimal strategies depending on the type of side-information," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1603-1627, October.
    3. Caroline Hillairet & Cody Hyndman & Ying Jiao & Renjie Wang, 2016. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Papers 1610.01937, arXiv.org.
    4. Luke M. Bennett & Wei Hu, 2023. "Filtration enlargement‐based time series forecast in view of insider trading," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 112-140, February.
    5. Kasper Larsen & Gordan Žitković, 2008. "On the semimartingale property via bounded logarithmic utility," Annals of Finance, Springer, vol. 4(2), pages 255-268, March.
    6. Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468, arXiv.org.
    7. Philip A. Ernst & L. C. G. Rogers, 2020. "The Value of Insight," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1193-1209, November.
    8. Hoyle, Edward & Hughston, Lane P. & Macrina, Andrea, 2011. "Lévy random bridges and the modelling of financial information," Stochastic Processes and their Applications, Elsevier, vol. 121(4), pages 856-884, April.
    9. Caroline HILLAIRET & Cody HYNDMAN & Ying JIAO & Renjie WANG, 2017. "Trading against disorderly liquidation of a large position under asymmetric information and market impact," Working Papers 2017-76, Center for Research in Economics and Statistics.

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