information drift, i.e. the drift to eliminate in order to preserve the martingale property in the insider's filtration, turns out … ; enlargement of filtrations ; Malliavin's calculus ; free lunch ; arbitrage ; equivalent martingale measure ; Bessel process …

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal … martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale … ; minimal martingale measure ; equivalent martingale measures …

underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a … semimartingale and explain the relations to the Föllmer-Schweizer decomposition and the minimal martingale measure. Finally we study … mean-variance hedging, the variance-optimal martingale measure and the connections to closeness properties of spaces of …

of independent interest, namely a martingale preserving change of measure and a martingale representation theorem for … initially enlarged filtrations. -- utility maximization ; value of information ; initial enlargement of filtrations ; Martingale …