Enlargement of Filtrations and Models for Insider Trading

Arturo Kohatsu-Higa
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Arturo Kohatsu-Higa: Universitat Pompeu Fabra, Department of Economics and Business, Ramón Trias Fargas 25-27, 08005 Barcelona, Spain

Chapter 8 in Stochastic Processes and Applications to Mathematical Finance, 2004, pp 151-165 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this paper we review recent results on models for insider trading based on the theory of enlargement of filtrations. In particular, we concentrate on the case of strong type of insiders. That is, insiders that have additional information in the a.s. sense. We explain how to treat the utility maximization problem for insiders using the enlargement of filtration technique.

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
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