Minimal Variance Hedging For Insider Trading
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DOI: 10.1142/S0219024906003998
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- Arturo Kohatsu-Higa & Agnès Sulem, 2006. "A Large Trader-Insider Model," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 3, pages 101-124, World Scientific Publishing Co. Pte. Ltd..
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Cited by:
- José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
- Albina Danilova, 2016. "Stock Market Insider Trading in Continuous Time with Imperfect Dynamic Information," Papers 1607.00035, arXiv.org.
- Markus Hess, 2018. "Pricing Temperature Derivatives Under Weather Forecasts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-34, August.
- George Bouzianis & Lane P. Hughston, 2020. "Optimal Hedging in Incomplete Markets," Papers 2006.12989, arXiv.org, revised Sep 2020.
- David B. Colwell & Nadima El‐Hassan & Oh Kang Kwon, 2021. "Variance minimizing strategies for stochastic processes with applications to tracking stock indices," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 430-446, June.
- H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
- José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.
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Keywords
Forward integral; Malliavin calculus; minimal variance; insider hedging; mean-variance insider hedging;All these keywords.
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