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Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
16 references·1 citing·30 second hop
Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach (2006)Enlargement of Filtration and Additional …Semimartingale Theory and Stochastic Calculus (2019)Semimartingale Theory and Sto…Additional utility of insiders with imperfect dynamical information (2004)Additional utility of insider…Modeling Anticipations on Financial Markets (2003)Modeling Anticipations on Fin…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…An Anticipating Calculus Approach to the Utility Maximization of an Insider (2003)An Anticipating Calculus Appr…Conditioned stochastic differential equations: theory, examples and application to finance (2002)Conditioned stochastic differ…Martingale representation theorems for initially enlarged filtrations (2000)Martingale representation the…Incomplete markets with jumps and informed agents (1999)Incomplete markets with jumps…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…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…Semi-Martingales et Grossissement d’une Filtration (1980)Semi-Martingales et Grossisse…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Calcul stochastique d�pendant d'un param�tre (1978)Calcul stochastique d�pendant…The strong predictable representation property in initially enlarged filtrations under the density hypothesis (2017)The strong predictable repres…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Methods of Mathematical Finance (1998)Rational Hedging and Valuation with Utility-Based Preferences (2001)MINIMAL VARIANCE HEDGING FOR INSIDER TRADING (2006)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)Optimal Investments for Robust Utility Functionals in Complete Market Models (2005)The Malliavin Calculus and Related Topics (2006)Brownian Motion and Stochastic Calculus (2007)Robust Preferences and Robust Portfolio Choice (2009)Lévy random bridges and the modelling of financial information (2010)Forward, backward and symmetric stochastic integration (1993)Anticipative portfolio optimization (1996)A survey and some generalizations of Bessel processes (2003)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Formula for Valuing Defaultable Securities (2004)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)What happens after a default: The conditional density approach (2010)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

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  • 2019Semimartingale Theory and Stochastic Calculus488 cited
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  • 1993Anticipation cancelled by a Girsanov transformation : a paradox on Wiener space53 cited
  • 1996Enlargement of the Wiener filtration by an absolutely continuous random variable via Malliavin’s calculus38 cited
  • 2003Modeling Anticipations on Financial Markets37 cited

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  • 1999Incomplete markets with jumps and informed agents31 cited
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    • 2017The strong predictable representation property in initially enlarged filtrations under the density hypothesis20 cited