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Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
13 references·0 citing·36 second hop
Enlargement of Filtrations and Continuous Girsanov-Type Embeddings (2007)Enlargement of Filtrations and Continuous…The Shannon information of filtrations and the additional logarithmic utility of insiders (2006)The Shannon information of fi…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Information and semimartingales (2005)Information and semimartingal…Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches (2003)Malliavin's Calculus in Insid…Free lunch and arbitrage possibilities in a financial market model with an insider (2001)Free lunch and arbitrage poss…Insider Trading in a Continuous Time Market Model (1998)Insider Trading in a Continuo…Additional logarithmic utility of an insider (1998)Additional logarithmic utilit…Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus (1996)Enlargement of the Wiener fil…Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space (1993)Anticipation cancelled by a G…Grossissement initial, hypothese (H′) et theoreme de Girsanov (1985)Grossissement initial, hypoth…The property of predictable representation of the sum of independent semimartingales (1982)The property of predictable r…Calcul stochastique d�pendant d'un param�tre (1978)Calcul stochastique d�pendant…Transformation des martingales locales par changement absolument continu de probabilities (1977)Transformation des martingale…On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Transformation of Local Martingales Under a Change of Law (1974)Grossissement d'une filtration et applications (1979)Les Aspects Probabilistes Du Controle Stochastique (1981)Un Cours sur les Intégrales Stochastiques (2002)Asymptotic option pricing under the CEV diffusion (2010)The Malliavin Calculus and Related Topics (1995)Continuous Martingales and Brownian Motion (1999)Finite utility on financial markets with asymmetric information and structure properties of the price dynamics☆ (2005)MINIMAL VARIANCE HEDGING FOR INSIDER TRADING (2006)The Malliavin Calculus and Related Topics (2006)UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET (2006)Calcul Stochastique et Problèmes de Martingales (1979)Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)On the minimal martingale measure and the möllmer-schweizer decomposition (1995)A monetary value for initial information in portfolio optimization (2003)A General Stochastic Calculus Approach to Insider Trading (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Continuous Auctions and Insider Trading (1985)Dirichlet Forms and Analysis on Wiener Space (1991)Information and option pricings (2001)Anticipative portfolio optimization (1996)Informed traders (2008)Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theorem (2008)Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (2019)Semi-Martingales et Grossissement d’une Filtration (1980)What happens after a default: The conditional density approach (2010)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)Additional utility of insiders with imperfect dynamical information (2004)Towards a general theory of bond markets (1997)Martingale representation theorems for initially enlarged filtrations (2000)Rational Hedging and Valuation with Utility-Based Preferences (2001)Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities (2003)Modeling Anticipations on Financial Markets (2003)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,700 cited
  • 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov176 cited
  • 1998Additional logarithmic utility of an insider171 cited
  • 1998Insider Trading in a Continuous Time Market Model134 cited
  • 1978Calcul stochastique d�pendant d'un param�tre123 cited
  • 2001Free lunch and arbitrage possibilities in a financial market model with an insider76 cited
  • 2006The Shannon information of filtrations and the additional logarithmic utility of insiders72 cited
  • 2003Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches66 cited
  • 1993Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space53 cited
  • 1977Transformation des martingales locales par changement absolument continu de probabilities47 cited
  • 1996Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus38 cited
  • 2005Information and semimartingales23 cited
  • 1982The property of predictable representation of the sum of independent semimartingales20 cited

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