- Sobel Seminar Room; South Hall 5607F
- CFMAR Seminar Series
Abstract: We present a hedging problem from an informed trader point of view. The model where the informed trader is supposed to have an influence on asset prices leads to a complete market model, which appear to be incomplete from a non-informed trader's point of view. This is a surprising example where the incompleteness of the market is not due to a lack of available assets. This incompleteness of the market is interesting to study, as well as the difference of investment whether the agent has the information or not. Tools used for this modeling are backward and forward-backward stochastic differential equations and enlargement of filtration.