Incomplete markets with jumps and informed agents
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DOI: 10.1007/s001860050082
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Cited by:
- 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.
- 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.
- 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.
- 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.
- Kasper Larsen & Gordan Žitković, 2008. "On the semimartingale property via bounded logarithmic utility," Annals of Finance, Springer, vol. 4(2), pages 255-268, March.
- Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468, arXiv.org.
- Philip A. Ernst & L. C. G. Rogers, 2020. "The Value of Insight," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1193-1209, November.
- 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.
- 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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Keywords
Key words: Poisson process; insider trading; investment/consumption optimization;All these keywords.
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