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Quantitative Finance Volume 6, 2006 - Issue 1
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Original Articles

Optimal portfolio for an insider in a market driven by Lévy processesFootnote§

Giulia Di Nunno Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, PO Box 1053 Blindern, N-0316 Oslo, NorwayCorrespondence[email protected]
,
Thilo Meyer-Brandis Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, PO Box 1053 Blindern, N-0316 Oslo, Norway
,
Bernt Øksendal Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, PO Box 1053 Blindern, N-0316 Oslo, Norway; Norwegian School of Economics and Business Administration, Helleveien 30, N-5045 Bergen, Norway
&
Frank Proske Centre of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, PO Box 1053 Blindern, N-0316 Oslo, Norway
Pages 83-94 | Received 25 Feb 2005, Accepted 02 Nov 2005, Published online: 18 Feb 2007

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Markus Hess. (2023) The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. Stochastic Models 39:4, pages 823-850.
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Xingchun Peng & Fenge Chen. (2022) Mean-variance asset-liability management with inside information. Communications in Statistics - Theory and Methods 51:7, pages 2281-2302.
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Markus Hess. (2021) An anticipative stochastic minimum principle under enlarged filtrations. Stochastic Analysis and Applications 39:2, pages 252-277.
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Markus Hess. (2020) Enlarged filtrations and indistinguishable processes. Stochastic Analysis and Applications 38:1, pages 179-189.
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Olfa Draouil & Bernt Øksendal. (2019) Viable insider markets. Stochastics 91:7, pages 959-973.
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Xingchun Peng, Fenge Chen & Wenyuan Wang. (2018) Optimal investment and risk control for an insurer with partial information in an anticipating environment. Scandinavian Actuarial Journal 2018:10, pages 933-952.
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Olfa Draouil & Bernt Øksendal. (2016) Optimal insider control and semimartingale decompositions under enlargement of filtration. Stochastic Analysis and Applications 34:6, pages 1045-1056.
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Xingchun Peng & Wenyuan Wang. (2016) Optimal investment and risk control for an insurer under inside information. Insurance: Mathematics and Economics 69, pages 104-116.
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Roland Füss, Steffen Mahringer & Marcel Prokopczuk. (2015) Electricity derivatives pricing with forward-looking information. Journal of Economic Dynamics and Control 58, pages 34-57.
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Olfa Draouil & Bernt Øksendal. (2015) A Donsker Delta Functional Approach to Optimal Insider Control and Applications to Finance. Communications in Mathematics and Statistics 3:3, pages 365-421.
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Matthijs Pronk & Mark Veraar. (2015) Forward integration, convergence and non-adapted pointwise multipliers. Infinite Dimensional Analysis, Quantum Probability and Related Topics 18:01, pages 1550005.
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GIULIA DI NUNNO & STEFFEN SJURSEN. (2014) INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS. International Journal of Theoretical and Applied Finance 17:08, pages 1450050.
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Andrew R. Teel, Anantharaman Subbaraman & Antonino Sferlazza. (2014) Stability analysis for stochastic hybrid systems: A survey. Automatica 50:10, pages 2435-2456.
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Xinfeng Ruan, Wenli Zhu, Jin Hu & Jiexiang Huang. (2013) Optimal portfolio and consumption with habit formation in a jump diffusion market. Applied Mathematics and Computation 222, pages 391-401.
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Agnès Sulem, Arturo Kohatsu-Higa, Bernt ∅ksendal, Frank Proske, Giulia Di Nunno & Thilo Meyer-Brandis. 2009. Special Volume: Mathematical Modeling and Numerical Methods in Finance. Special Volume: Mathematical Modeling and Numerical Methods in Finance 573 593 .
Kasper Larsen & Gordan Žitković. (2007) On the semimartingale property via bounded logarithmic utility. Annals of Finance 4:2, pages 255-268.
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FRANCESCA BIAGINI & BERNT ØKSENDAL. (2011) MINIMAL VARIANCE HEDGING FOR INSIDER TRADING. International Journal of Theoretical and Applied Finance 09:08, pages 1351-1375.
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Roland Füss, Steffen Mahringer & Marcel Prokopczuk. (2013) A Fundamental Electricity Pricing Model with Forward-Looking Information. SSRN Electronic Journal.
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