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Models for insider trading with finite utility

Kohatsu-Higa, Arturo - In: Paris Princeton lectures on mathematical finance 3 (2004), pp. 103-171

Persistent link: https://www.econbiz.de/10009357089

Utility maximization in an insider influenced market

Kohatsu-Higa, Arturo; Sulem, Agnès - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 153-179

Persistent link: https://www.econbiz.de/10003336869

Anticipative stochastic control for Lévy processes with application to insider trading

Sulem, Agnès; Kohatsu-Higa, Arturo; Øksendal, Bernt K.; … - 2009

Persistent link: https://www.econbiz.de/10003827062

Additional utility of insiders with imperfect dynamical information

Corcuera, José M.; Imkeller, Peter; Kohatsu-Higa, Arturo; … - In: Finance and stochastics 8 (2004) 3, pp. 437-450

Persistent link: https://www.econbiz.de/10002130328

Additional utility of insiders with imperfect dynamical information

Corcuera, José Ma.; Imkeller, Peter; Kohatsu-Higa, Arturo - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001747508

Additional utility of insiders with imperfect dynamical information

Corcuera, José; Imkeller, Peter; Kohatsu-Higa, Arturo; … - In: Finance and Stochastics 8 (2004) 3, pp. 437-450

In this paper we consider a market driven by a Wiener process where there is an insider and a regular trader. The insider has privileged information which has been deformed by an independent noise vanishing as the revelation time approaches. At this time, the information of every trader is the...

Persistent link: https://www.econbiz.de/10005390658