Free lunch and arbitrage possibilities in a financial market model with an insider

Citations

Cited by:

1. Kasper Larsen & Gordan Zitkovic, 2007. "On the semimartingale property via bounded logarithmic utility," Papers 0706.0468, arXiv.org.
2. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2012. "On arbitrages arising from honest times," Papers 1207.1759, arXiv.org, revised Jul 2013.
3. Ernst, Philip A. & Rogers, L.C.G. & Zhou, Quan, 2017. "The value of foresight," Stochastic Processes and their Applications, Elsevier, vol. 127(12), pages 3913-3927.
   • Philip Ernst & L. C. G. Rogers & Quan Zhou, 2016. "The value of foresight," Papers 1601.05872, arXiv.org, revised Jul 2016.
4. Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1761-1784.
5. Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," LSE Research Online Documents on Economics 65150, London School of Economics and Political Science, LSE Library.
6. Ankirchner, Stefan, 2008. "On filtration enlargements and purely discontinuous martingales," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1662-1678, September.
7. Jos'e Manuel Corcuera & Giulia Di Nunno & Gergely Farkas & Bernt {O}ksendal, 2014. "A continuous auction model with insiders and random time of information release," Papers 1411.2835, arXiv.org, revised Mar 2018.
8. Claudio Fontana & Monique Jeanblanc & Shiqi Song, 2014. "On arbitrages arising with honest times," Finance and Stochastics, Springer, vol. 18(3), pages 515-543, July.
9. D'Auria, Bernardo & Salmerón Garrido, José Antonio, 2021. "Anticipative information in a Brownian-Poisson market: the binary information," DES - Working Papers. Statistics and Econometrics. WS 33624, Universidad Carlos III de Madrid. Departamento de Estadística.
10. Mauricio Elizalde & Carlos Escudero & Tomoyuki Ichiba, 2022. "Optimal investment with insider information using Skorokhod & Russo-Vallois integration," Papers 2211.07471, arXiv.org, revised Dec 2024.
11. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
12. Kasper Larsen & Gordan Žitković, 2008. "On the semimartingale property via bounded logarithmic utility," Annals of Finance, Springer, vol. 4(2), pages 255-268, March.
13. 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.
14. 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.
15. Peng, Xingchun & Chen, Fenge & Wang, Wenyuan, 2021. "Robust optimal investment and reinsurance for an insurer with inside information," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 15-30.
16. Bernardo D'Auria & Jos'e A. Salmer'on, 2021. "Anticipative information in a Brownian-Poissonmarket: the binary information," Papers 2111.01529, arXiv.org.
17. Rui Jiao & Wei Liu & Yijun Hu, 2023. "The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation," Mathematics, MDPI, vol. 11(15), pages 1-18, August.
18. repec:hum:wpaper:sfb649dp2005-030 is not listed on IDEAS
19. 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.
20. Anne Eyraud-Loisel, 2011. "Option Hedging By An Influent Informed Investor," Post-Print hal-00450948, HAL.
21. José Mª Corcuera & Peter Imkeller & Arturo Kohatsu & David Nualart, 2003. "Additional utility of insiders with imperfect dynamical information," Economics Working Papers 675, Department of Economics and Business, Universitat Pompeu Fabra.
22. Beatrice Acciaio & Claudio Fontana & Constantinos Kardaras, 2014. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Papers 1401.7198, arXiv.org, revised May 2015.
23. Giacomo Morelli, 2021. "Liquidity drops," Annals of Operations Research, Springer, vol. 299(1), pages 711-719, April.
24. 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.
25. D'Auria, Bernardo & Salmerón Garrido, José Antonio, 2022. "An anticipative Markov modulated market," DES - Working Papers. Statistics and Econometrics. WS 34083, Universidad Carlos III de Madrid. Departamento de Estadística.
26. Ankirchner, Stefan & Dereich, Steffen & Imkeller, Peter, 2005. "The Shannon information of filtrations and the additional logarithmic utility of insiders," SFB 649 Discussion Papers 2005-030, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
27. Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov, 2016. "Arbitrage and utility maximization in market models with an insider," Papers 1608.02068, arXiv.org, revised Sep 2016.
28. 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.