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Markovian Bridges with Applications to Insider's Trading

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Date
2009
Notes
Texte intégral à l'adresse suivante : http://basepub.dauphine.fr/xmlui/handle/123456789/3554
Dewey
Probabilités et mathématiques appliquées
Sujet
Markov Bridges
Conference name
Rencontres probabilistes à l'occasion du 60eme anniversaire de Marc Yor
Conference date
06-2009
Conference city
Paris
Conference country
France
URI
https://basepub.dauphine.fr/handle/123456789/3555
Collections
  • CEREMADE : Publications
Metadata
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Author
Campi, Luciano
Type
Communication / Conférence
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.

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