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Insider Trading in Convergent Markets

Author

Listed:
  • Mattias Jonsson
  • Jan Vecer

Abstract

Optimal trading strategies are found for an insider who is trading in two convergent stocks and is bound by margin constraints.

Suggested Citation

  • Mattias Jonsson & Jan Vecer, 2005. "Insider Trading in Convergent Markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(3), pages 243-252.
    • Handle: RePEc:taf:apmtfi:v:12:y:2005:i:3:p:243-252
    DOI: 10.1080/1350486042000325160
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    References listed on IDEAS

    as
    1. Jorge A. León & Reyla Navarro & David Nualart, 2003. "An Anticipating Calculus Approach to the Utility Maximization of an Insider," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 171-185, January.
    2. Föllmer, Hans & Wu, Ching-Tang & Yor, Marc, 1999. "Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading," Stochastic Processes and their Applications, Elsevier, vol. 84(1), pages 137-164, November.
    3. Peter Imkeller, 2003. "Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 153-169, January.
    Full references (including those not matched with items on IDEAS)

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