By employing the technique of enlargement of filtrations, we demonstrate how to incorporate
information about the future trend of the stochastic interest rate process into a financial …

Mathematically, the execution of an American-style financial derivative is commonly reduced
to solving an optimal stopping problem. Breaking the general assumption that the …

The anticipative information refers to some information about future events that may be
disclosed in advance. This information may regard, for example, financial assets and their …

在现有跳扩散模型和对数效用函数的基础上, 考虑了内部信息市场中的期望效用最大问题和信息
效用比较问题. 采用一个到期日可测的随机变量来刻画现实金融市场中处处存在的内部信息 …

A Markovian modulation captures the trend in the market and influences the market
coefficients accordingly. The different scenarios presented by the market are modeled as the …

A note on Insider information and its relation with the arbitrage condition and the utility
maximization problem Page 1 http://www.aimspress.com/journal/mbe MBE, 20(5): 8305–8307 …

En múltiples ámbitos de la vida cotidiana se ponen de manifiesto las importantes
diferencias existentes entre información y conocimiento: basta con tomar un libro escrito en …

Portfolio optimization is an important financial tool in particular to price financial derivatives.
However the standard techniques do not apply when it is needed to extend the model by …

We introduce a theoretical model of executives with insider information who receive
executive stock options (ESOs) as incentives and optimize their “outside wealth” portfolios …

The publication of this special issue of the journal Mathematical Biosciences and
Engineering is a matter of a great pleasure for me. It contains 7 refereed research papers on …