An Anticipating Calculus Approach to the Utility Maximization of an Insider
By Jorge A. León, Reyla Navarro, David Nualart. 2003
64 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/8bf14cd2419e82e07f92c325de71d974f5442057
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Pierre Vallois
- Francesco Russo
- Bernt Øksendal
- David Nualart
- Ivan Nourdin
- Jason Swanson
- Laurent Decreusefond
- Fred Espen Benth
In Finance
- Pierre Vallois
- Francesco Russo
- Bernt Øksendal
- Francesca Biagini
- David Nualart
- Ivan Nourdin
- Jason Swanson
- Dung Nguyen Tien
Citations in the corpus
- A General Stochastic Calculus Approach to Insider Trading (2005, background): “gale decomposition of B(t) with respect to Ht. This is a generalization of results in [16], in [ 20 ] and in [2].”
- Elements of Stochastic Calculus via Regularization (2006, background): “Among some recent applications to finance, we refer for instance to [31, 4].”
- Finite utility on financial markets with asymmetric information and structure properties of the price dynamics (2005, unknown): “To reach this goal, the authors argue as in other papers (see for example Leon et al. [ 27 ]) via anticipative calculus embedded in Malliavin’s calculus in an extrinsic approach.”