Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading

Sulem, Agnès; Kohatsu-Higa, Arturo; ksendal, Bernt; Proske, Frank; Di Nunno, Giulia und Meyer-Brandis, Thilo (2009): Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading. In: Du, Qiang (Hrsg.): Special Volume: Mathematical Modeling and Numerical Methods in Finance. Handbook of Numerical Analysis, Bd. 15. Amsterdam: North-Holland. S. 573-593

Abstract

An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this chapter, we consider the optimization problem of an insider who is so influential in the market to affect the price dynamics: in this sense, he is called a “large” insider. The optimal portfolio problem for a general utility function is studied for a financial market driven by a Lévy process in the framework of forward anticipating calculus.

• Dokumententyp: Buchbeitrag
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISBN: 978-0-444-51879-8
• ISSN: 15708659
• Ort: Amsterdam
• Sprache: Englisch