| dc.date.accessioned | 2013-03-12T08:19:22Z | |
| dc.date.available | 2013-03-12T08:19:22Z | |
| dc.date.issued | 2004 | en_US |
| dc.date.submitted | 2009-11-30 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10604 | |
| dc.description.abstract | In this paper we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We characterise the optimal strategy in terms of a martingale condition. In the second part we focus on a problem of mean-variance hedging where the insider tries to minimise the variance of his wealth at time T given that this wealth has a fixed expected value A. We solve this problem for an initial enlargement of filtration by providing an explicit solution. | eng |
| dc.language.iso | eng | en_US |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Minimal variance hedging for insider trading | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-30 | en_US |
| dc.rights.holder | Copyright 2004 The Author(s) | |
| dc.creator.author | Biagini, Francesca | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23657 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97434 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10604/1/pm09-04.pdf | |