IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v03y2000i04ns0219024900000802.html
   My bibliography  Save this article

Asymmetric Information In A Financial Market With Jumps

Author

Listed:
  • AXEL GRORUD

    (L.A.T.P., Université de Provence, 39 rue Joliot-Curie, F13453 MARSEILLE cedex 13, France)

Abstract

This paper uses the enlargement of filtrations to analyze the financial strategy of an insider trader in a discontinuous time market where prices are driven by a Brownian motion and a compound Poisson process. We compare this strategy with that of a non-insider trader. The market is a chosen viable and complete; we can give an explicit expression of the optimal portfolio of the insider trader.On considère un marché financier dont les prix sont dirigés par un mouvement brownien et un processus de Poisson multivarié. Dans ce cadre le marché peut être complet et viable. Nous étudions la stratégie financière d'un agent qui a une information anticipant l'évolution du marché et nous la comparons un agent qui n'a pas cette information. La complétude du marché permet d'expliciter le portefeuille optimal de l'agent initié. Le grossissement de filtration permet de replacer une équation anticipante dans un cadre adapté.

Suggested Citation

  • Axel Grorud, 2000. "Asymmetric Information In A Financial Market With Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 641-659.
  • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000802
    DOI: 10.1142/S0219024900000802
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024900000802
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1142/S0219024900000802?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eyraud-Loisel, Anne, 2005. "Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps," Stochastic Processes and their Applications, Elsevier, vol. 115(11), pages 1745-1763, November.
    2. Kohatsu-Higa, Arturo & Yamazato, Makoto, 2008. "Enlargement of filtrations with random times for processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 118(7), pages 1136-1158, July.
    3. 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.
    4. Anne Eyraud-Loisel, 2019. "How Does Asymmetric Information Create Market Incompleteness?," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 531-538, June.
    5. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
    6. Anne Eyraud-Loisel, 2005. "Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps," Post-Print hal-01298905, HAL.
    7. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:03:y:2000:i:04:n:s0219024900000802. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.