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 …

The aim of the present survey is to give an outline of the modern mathematical tools which
can be used on a financial market by a” small” investor who possesses some information on …

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 …

We study a rational valuation and hedging principle for contingent claims which integrate
tradable and non-tradable sources of risk. The principle is based on the preferences of a …

The background for the general mathematical link between utility and information theory
investigated in this paper is a simple financial market model with two kinds of small traders …

We investigate a two-player zero-sum stochastic differential game in which the players have
an asymmetric information on the random payoff. We prove that the game has a value and …

This survey reviews filtration enlargement models in view of insider trading. Although
filtration enlargement aptly models insiders' informational advantage, the theoretical results …

We study the strong predictable representation property in filtrations initially enlarged with a
random variable L. We prove that the strong predictable representation property can always …

When an investor is faced with the option to purchase additional information regarding an
asset price, how much should she pay? To address this question, we solve for the …

In this paper, we first study the problem of minimal hedging for an insider trader in
incomplete markets. We use the forward integral in order to model the insider portfolio and …