Team Mathfi

Overall Objectives
Scientific Foundations
Application Domains
New Results
Contracts and Grants with Industry

Section: New Results

Keywords : antipative calculus, forward integrals, insider, asymmetry information.

Utility maximization in an insider influenced market

Participants : A. Kohatsu-Higa, A. Sulem.

We have continued to study insider type models. A. Kohatsu-Higa has obtained results on the equilibrum of models with insiders which behave as large traders. In particular he has studied models with insider long term effects with H. Hata and is currently studying the short trem effects in a extension of the Kyle-Back model.

A.Kohatsu-Higa and A.Sulem are working on the extension of their paper [23] to models with jumps.

A. Sulem and B. ├śksendal have proposed an anticipative approach for indifference pricing in incomplete markets [46] .


Logo Inria