Additional utility of insiders with imperfect dynamical information

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Finance and Stochastics, Volume 8, Number 3, August 2004, pp. 437-450
http://hdl.handle.net/10230/406
To cite or link this document: http://hdl.handle.net/10230/406
dc.contributor.author Corcuera, José Mª
dc.contributor.author Imkeller, Peter
dc.contributor.author Kohatsu, Arturo
dc.contributor.author Nualart, David
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2003-04-01
dc.identifier.citation Finance and Stochastics, Volume 8, Number 3, August 2004, pp. 437-450
dc.identifier.uri http://hdl.handle.net/10230/406
dc.description.abstract In this paper we consider an insider with privileged information that is affected by an independent noise vanishing as the revelation time approaches. At this time, information is available to every trader. Our financial markets are based on Wiener space. In probabilistic terms we obtain an infinite dimensional extension of Jacod’s theorem to cover cases of progressive enlargement of filtrations. The application of this result gives the semimartingale decomposition of the original Wiener process under the progressively enlarged filtration. As an application we prove that if the rate at which the additional noise in the insider’s information vanishes is slow enough then there is no arbitrage and the additional utility of the insider is finite.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 675
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Additional utility of insiders with imperfect dynamical information
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2014-06-03T07:14:09Z
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.subject.keyword insider trading
dc.subject.keyword enlargement of filtrations
dc.subject.keyword malliavin's calculus
dc.subject.keyword utility maximization
dc.subject.keyword arbitrage
dc.rights.accessRights info:eu-repo/semantics/openAccess


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