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Insider trading, stochastic liquidity, and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475

Persistent link: https://www.econbiz.de/10011611102

Optimal investment with inside information and parameter uncertainty

Danilova, Albina; Monoyios, Michael; Ng, Andrew - In: Mathematics and financial economics 3 (2010) 1, pp. 13-38

Persistent link: https://www.econbiz.de/10003978398

Optimal exercise of an executive stock option by an insider

Monoyios, Michael; Ng, Andrew - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10008908387

A general maximum principle for anticipative stochastic control and applications to insider trading

Di Nunno, Giulia; Pamen, Olivier Menoukeu; Øksendal, … - In: Advanced mathematical methods for finance, (pp. 181-221). 2011

Persistent link: https://www.econbiz.de/10008991293

Insider trading, stochastic liquidity and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - 2012

Persistent link: https://www.econbiz.de/10009666677

Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

We consider simple models of financial markets with regular traders and insiders possessing some extra information hidden in a random variable which is accessible to the regular trader only at the end of the trading interval. The problems we focus on are the calculation of the additional utility...

Persistent link: https://www.econbiz.de/10009620768