English, Article edition: MINIMAL VARIANCE HEDGING FOR INSIDER TRADING FRANCESCA BIAGINI; BERNT ÃKSENDAL

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Physical Description
  • article
Language
  • English

Edition details

Title
  • MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
Author
  • FRANCESCA BIAGINI
  • BERNT ÃKSENDAL
Physical Description
  • article
Notes
  • 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 characterize 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 minimize 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.
  • Forward integral, Malliavin calculus, minimal variance, insider hedging, mean-variance insider hedging
  • RePEc:wsi:ijtafx:v:09:y:2006:i:08:p:1351-1375
Language
  • English
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