ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS

Axel Grorud
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Axel Grorud: L.A.T.P., Université de Provence, 39 rue Joliot-Curie, F13453 MARSEILLE cedex 13, France

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 04, 641-659

Abstract: This paper uses the enlargement of filtrations to analyze the financial strategy of an insider trader in a discontinuous time market where prices are driven by a Brownian motion and a compound Poisson process. We compare this strategy with that of a non-insider trader. The market is a chosen viable and complete; we can give an explicit expression of the optimal portfolio of the insider trader.On considère un marché financier dont les prix sont dirigés par un mouvement brownien et un processus de Poisson multivarié. Dans ce cadre le marché peut être complet et viable. Nous étudions la stratégie financière d'un agent qui a une information anticipant l'évolution du marché et nous la comparons un agent qui n'a pas cette information. La complétude du marché permet d'expliciter le portefeuille optimal de l'agent initié. Le grossissement de filtration permet de replacer une équation anticipante dans un cadre adapté.

Date: 2000
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Citations: View citations in EconPapers (7)

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DOI: 10.1142/S0219024900000802

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