Peter Imkeller

Humboldt University of Berlin - Department of Mathematics

Unter den Linden 6

Berlin, D-10099

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

143

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

Additional Utility of Insiders with Imperfect Dynamical Information

UPF Economics and Business Working Paper No. 675
Number of pages: 28 Posted: 08 Sep 2003
University of Barcelona - Faculty of Mathematics, Humboldt University of Berlin - Department of Mathematics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Statistics
Downloads 114 (324,523)
Citation 1

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Insider trading, enlargement of filtrations, Malliavin's calculus, utility maximization, arbitrage

2.

Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

Number of pages: 17 Posted: 20 Mar 2003
Peter Imkeller
Humboldt University of Berlin - Department of Mathematics
Downloads 26 (641,538)

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Insider Training, Enlargement of Filtrations, Malliavin's Calculus, Free Lunch, Arbitrage, Equivalent Martingale Measure, Bessel Process

3.

Pricing and Hedging of Derivatives Based on Nontradable Underlyings

Mathematical Finance, Vol. 20, Issue 2, pp. 289-312, April 2010
Number of pages: 24 Posted: 29 Mar 2010
Stefan Ankirchner, Peter Imkeller and Gonçalo Dos Reis
University of Bonn, Humboldt University of Berlin - Department of Mathematics and affiliation not provided to SSRN
Downloads 3 (832,739)

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