Enlargement of filtration with finance in view
A Aksamit, M Jeanblanc - 2017 - Springer
At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …
of enlargement of filtration which focuses on the properties of stochastic processes under a …
A general stochastic calculus approach to insider trading
F Biagini, B Øksendal - Applied Mathematics and Optimization, 2005 - Springer
The purpose of this paper is to present a general stochastic calculus approach to insider
trading. We consider a market driven by a standard Brownian motion B(t) on a filtered …
trading. We consider a market driven by a standard Brownian motion B(t) on a filtered …
[HTML][HTML] Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
B Acciaio, J Backhoff-Veraguas, A Zalashko - Stochastic Processes and …, 2020 - Elsevier
The martingale part in the semimartingale decomposition of a Brownian motion with respect
to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In …
to an enlargement of its filtration, is an anticipative mapping of the given Brownian motion. In …
[PDF][PDF] The information premium for non-storable commodities
FE Benth, T Meyer-Brandis - Journal of Energy Markets, 2009 - cms-cdn.lmu.de
For non-storable commodities forward looking information about market conditions is not
necessarily incorporated in today's prices, and the standard assumption that the information …
necessarily incorporated in today's prices, and the standard assumption that the information …
On a connection between information and group lattices
H Li, EKP Chong - Entropy, 2011 - mdpi.com
In this paper we review a particular connection between information theory and group
theory. We formalize the notions of information elements and information lattices, first …
theory. We formalize the notions of information elements and information lattices, first …
Filtration enlargement‐based time series forecast in view of insider trading
LM Bennett, W Hu - Journal of Economic Surveys, 2023 - Wiley Online Library
This survey reviews filtration enlargement models in view of insider trading. Although
filtration enlargement aptly models insiders' informational advantage, the theoretical results …
filtration enlargement aptly models insiders' informational advantage, the theoretical results …
Informed traders
DC Brody, MHA Davis… - Proceedings of the …, 2009 - royalsocietypublishing.org
An asymmetric information model is introduced for the situation in which there is a small
agent who is more susceptible to the flow of information in the market than the general …
agent who is more susceptible to the flow of information in the market than the general …
Optimal investment with inside information and parameter uncertainty
An optimal investment problem is solved for an insider who has access to noisy information
related to a future stock price, but who does not know the stock price drift. The drift is filtered …
related to a future stock price, but who does not know the stock price drift. The drift is filtered …
Causal identification for continuous-time stochastic processes
J Sun, FW Crawford - arXiv preprint arXiv:2211.15934, 2022 - arxiv.org
Many real-world processes are trajectories that may be regarded as continuous-time"
functional data". Examples include patients' biomarker concentrations, environmental …
functional data". Examples include patients' biomarker concentrations, environmental …
No-arbitrage under a class of honest times
This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit
with bounded risk (NUPBR) and additional progressive information generated by a random …
with bounded risk (NUPBR) and additional progressive information generated by a random …