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Models for Insider Trading with Finite Utility
16 references·1 citing·32 second hop
Models for Insider Trading with Finite Utility (2007)Models for Insider Trading with Finite Ut…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A General Stochastic Calculus Approach to Insider Trading (2005)A General Stochastic Calculus…A complete explicit solution to the log-optimal portfolio problem (2003)A complete explicit solution …Stochastic calculus with respect to continuous finite quadratic variation processes (2000)Stochastic calculus with resp…Optimal portfolios for logarithmic utility (2000)Optimal portfolios for logari…Insider Trading in a Continuous Time Market Model (1998)Insider Trading in a Continuo…Additional logarithmic utility of an insider (1998)Additional logarithmic utilit…Anticipative portfolio optimization (1996)Anticipative portfolio optimi…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…The generalized covariation process and Ito formula (1995)The generalized covariation p…Forward, backward and symmetric stochastic integration (1993)Forward, backward and symmetr…Insider Trading in Continuous Time (1992)Insider Trading in Continuous…Grossissement initial, hypothese (H′) et theoreme de Girsanov (1985)Grossissement initial, hypoth…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING (2015)PROGRESSIVE FILTRATION EXPANS…Calcul Stochastique et Problèmes de Martingales (1979)Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Brownian Motion (1999)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Asymmetric Information and Options (1993)Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Asset Pricing under Asymmetric Information (2001)Brownian Motion and Stochastic Calculus (2007)Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)On the minimal martingale measure and the möllmer-schweizer decomposition (1995)Martingale representation theorems for initially enlarged filtrations (2000)A monetary value for initial information in portfolio optimization (2003)Semi-Martingales et Grossissement d’une Filtration (1980)What happens after a default: The conditional density approach (2010)Brownian motion and stochastic calculus (1991)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1992Insider Trading in Continuous Time468 cited
  • 1993Forward, backward and symmetric stochastic integration318 cited
  • 1996Anticipative portfolio optimization219 cited
  • 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov176 cited
  • 1998Additional logarithmic utility of an insider171 cited
  • 2000Optimal portfolios for logarithmic utility145 cited
  • 1995The generalized covariation process and Ito formula136 cited
  • 1998Insider Trading in a Continuous Time Market Model134 cited
  • 2000Stochastic calculus with respect to continuous finite quadratic variation processes132 cited
  • 2003A complete explicit solution to the log-optimal portfolio problem129 cited
  • 2005A General Stochastic Calculus Approach to Insider Trading

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  • 2015PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING25 cited