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Markovian Bridges with Applications to Insider's Trading

Campi, Luciano (2009), Markovian Bridges with Applications to Insider's Trading, Rencontres probabilistes à l'occasion du 60eme anniversaire de Marc Yor, 2009-06, Paris, France

Type
Communication / Conférence
Date
2009
Conference title
Rencontres probabilistes à l'occasion du 60eme anniversaire de Marc Yor
Conference date
2009-06
Conference city
Paris
Conference country
France
Metadata
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Author(s)
Campi, Luciano
Abstract (EN)
Given a markovian Brownian martingale Z, we construct a Markov process X which is a martingale in its own filtration and satisfies 1 1 X =Z . We compute explicitly its semimartingale decomposition under both its own filtration and the filtration generated jointly by X and Z, so making a connection with (dynamic) enlargement of filtrations theory. As an application, we explicitely solve an equilibrium model with insider trading, that can be viewed as a generalization of Back and Pedersen's (Journal of Financial Markets 1, 1998) where stock price evolution exhibits a local volatility dynamics.
Subjects / Keywords
Markov Bridges

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