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Additional utility of insiders with imperfect dynamical information

Citations

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Cited by:

  1. Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468, arXiv.org.
  2. Ferdoos Alharbi & Tahir Choulli, 2022. "Log-optimal portfolio after a random time: Existence, description and sensitivity analysis," Papers 2204.03798, arXiv.org.
  3. Scott Robertson, 2023. "Equilibrium with Heterogeneous Information Flows," Papers 2304.01272, arXiv.org, revised Mar 2024.
  4. Caroline Hillairet & Ying Jiao, 2012. "Credit Risk with asymmetric information on the default threshold," Post-Print hal-00663136, HAL.
  5. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
  6. Mauricio Elizalde & Carlos Escudero & Tomoyuki Ichiba, 2022. "Optimal investment with insider information using Skorokhod & Russo-Vallois integration," Papers 2211.07471, arXiv.org, revised Sep 2025.
  7. Kohatsu-Higa, Arturo & Yamazato, Makoto, 2008. "Enlargement of filtrations with random times for processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1136-1158, July.
  8. José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
  9. Kiseop Lee & Seongjoo Song, 2007. "Insiders' hedging in a jump diffusion model," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 537-545.
  10. 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.
  11. Scott Robertson, 2025. "Equilibrium with heterogeneous information flows," Finance and Stochastics, Springer, vol. 29(3), pages 791-846, July.
  12. Bernardo D’Auria & Jose A. Salmeron, 2024. "Anticipative information in a Brownian−Poisson market," Annals of Operations Research, Springer, vol. 336(1), pages 1289-1314, May.
  13. Bruno Bouchard, 2005. "No-arbitrage in discrete-time markets with proportional transaction costs and general information structure," Papers math/0501045, arXiv.org.
  14. Mauricio Elizalde & Carlos Escudero & Tomoyuki Ichiba, 2025. "Optimal Investment with Insider Information Using Skorokhod & Russo-Vallois Integration," Journal of Optimization Theory and Applications, Springer, vol. 207(3), pages 1-43, December.
  15. Prakash Chakraborty & Kiseop Lee, 2022. "Bond Prices Under Information Asymmetry and a Short Rate with Instantaneous Feedback," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 613-634, June.
  16. Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal, 2014. "A continuous auction model with insiders and random time of information release," Papers 1411.2835, arXiv.org, revised Mar 2018.
  17. Paolo Guasoni, 2006. "Asymmetric Information in Fads Models," Finance and Stochastics, Springer, vol. 10(2), pages 159-177, April.
  18. Yu-Jui Huang & Shihao Zhu, 2025. "Mean-Variance Stackelberg Games with Asymmetric Information," Papers 2509.03669, arXiv.org.
  19. José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.
  20. Olfa Draouil & Bernt {O}ksendal, 2018. "Viable Insider Markets," Papers 1801.03720, arXiv.org.
  21. 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.
  22. Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
  23. Albina Danilova & Michael Monoyios & Andrew Ng, 2009. "Optimal investment with inside information and parameter uncertainty," Papers 0911.3117, arXiv.org, revised Feb 2010.
  24. Anne Eyraud-Loisel, 2013. "Quadratic hedging in an incomplete market derived by an influent informed investor," Post-Print hal-00450949, HAL.
  25. Kasper Larsen & Gordan Žitković, 2008. "On the semimartingale property via bounded logarithmic utility," Annals of Finance, Springer, vol. 4(2), pages 255-268, March.
  26. Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
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