References
- Applebaum , D . 2004 . Lévy Processes and Stochastic Calculus , Cambridge : Cambridge University Press .
- Barndorff-Nielsen , O . 1998 . Processes of normal inverse Gaussian type . Finance Stochast , 1 : 41 – 68 .
- Bertoin , J . 1996 . Lévy Processes , Cambridge : Cambridge University Press .
- Biagini , F and Øksendal , B . 2005 . A general stochastic calculus aproach to insider trading . Appl. Math. Optim. , 52 : 167 – 181 .
- Corcuera , JM , Imkeller , P , Kohatsu-Higa , A and Nualart , D . 2004 . Additional utility of insiders with imperfect dynamical information . Finance Stochast , 8 : 437 – 450 .
- Cont , R and Tankov , P . 2004 . Financial Modelling with Jump Processes , London : Chapman and Hall .
- Delbaen , F and Schachermayer , W . 1994 . A general version of the fundamental theorem of asset pricing . Math. Anal , 300 : 463 – 520 .
- Di Nunno , G , Øksendal , B and Proske , F . 2004 . White noise analysis for Lévy proceses . Functional Anal , 206 : 109 – 148 .
- Di Nunno , G , Meyer-Brandis , T , Øksendal , B and Proske , F . 2005 . Malliavin calculus and anticipate Itô formulae for Lévy processes . Inf. Dim. Anal. Quant. Probab. Rel. Topics , 8 : 235 – 258 .
- Elliott , R and Jeanblanc , M . 1998 . Incomplete markets with jumps and informed agents . Math. Method Operat. Res , 50 : 475 – 492 .
- Elliott , R , Geman , H and Korkie , R . 1997 . Portfolio optimization and contingent claim pricing with differential information . Stochast. Stochast. Rep , 60 : 185 – 203 .
- Eberlein , E and Raible , S . 1999 . Term structure models driven by Lévy processes . Math. Finance , 9 : 31 – 53 .
- Grorud , A . 2000 . Asymmetric information in a financial market with jumps . Int. J. Theoret. Appl. Finance , 3 ( 4 ) : 641 – 659 .
- Itô , K . 1956 . Spectral type of the shift transformation of differential processes with stationary increments . Trans. Am. Math. Soc , 81 : 253 – 263 .
- Itô , K . 1978 . “ Extension of stochastic integrals ” . In Proceedings of International Symposium on Stochastic Differential Equations , 95 – 109 . New York : Wiley .
- Jacod , J and Shiryaev , AN . 2003 . Limit Theorems for Stochastic Processes, , 2nd edn , Berlin : Springer-Verlag .
- Karatzas , I and Pikovsky , I . 1996 . Anticipating portfolio optimization . Adv. Appl. Prob , 28 : 1095 – 1122 .
- Kohatsu-Higa , A and Yamazato , M . 2004 . Enlargement of filtrations with random times , Preprint
- Kohatsu-Higa , A and Yamazato , M . 2004 . Insider modelling and logarithmic utility in markets with jumps , Preprint
- Kunita , H . 2003 . Variational equality and portfolio optimization for price processes with jumps, in Processes and Applications to Mathematical Finance Proceedings of the Ritsumeikan International Symposium Kusatsu ,
- Lokka , A . 2004 . Martingale representation and functionals of Lévy processes . Stochast. Anal. Appl , 22 : 867 – 892 .
- Nualart , D and Pardoux , E . 1988 . Stochastic calculus with anticipating integrands . Prob. Th. Rel. Fields , 78 : 535 – 581 .
- Øksendal , B and Proske , F . 2004 . White noise for Poisson random measures . Potential Anal , 21 : 375 – 403 .
- Øksendal , B and Sulem , A . 2004 . Partial observation control in an anticipating environment . Rus. Math. Surveys , 59 : 355 – 375 .
- Picard , J . 1996 . On the existence of smooth densities for jump processes . Prob. Th. Rel. Fields , 105 : 481 – 511 .
- Protter , P . 2003 . Stochastic Integration and Differential Equations , Berlin : Springer-Verlag . 2nd edn
- Russo , F and Vallois , P . 1993 . Forward, backward and symmetric stochastic integration . Prob. Th. Rel. Fields , 97 : 403 – 421 .
- Russo , F and Vallois , P . 1995 . The generalized covariation process and Itô formula . Stochast. Process. Appl , 59 : 81 – 104 .
- Russo , F and Vallois , P . 2000 . Stochastic calculus with respect to continuous finite quadratic variation processes . Stochast. Stochast. Rep , 70 : 1 – 40 .
- Sato , K . 1999 . Lévy Processes and Infinitely Divisible Distributions, Cambridge University Studies in Advanced Mathematics , Vol. 68 , Cambridge : Cambridge University Press .
- Schoutens , W . 2003 . Lévy Processes in Finance , New York : Wiley .