Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "insider trading"
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2006-01-27BuchAdditional Logarithmic Utility of an Insider In this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investor’s portfolio decisions are ...
2006-03-09BuchCanonical decomposition of linear transformations of two independent Brownian motions Motivated by the Kyle-Back model of “insider trading”, we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own ...
2002-02-14BuchMalliavin's calculus in insider models additional utility and free lunches