Patrimony
The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).
Quadratic hedging in an incomplete market derived by an influential informed investor.
Asymmetric information, Clark-Ocone formula, Enlargement of filtration, FBSDE, Influent investor, Insider trading, Martingale representation, Quadratic hedging, Risk minimization
EDSR and EDSPR with filtration magnification, information asymmetry and hedging problems in financial markets.
Asymmetrical information, Asymétrie d'information, BSDE, Complete market, Couverture d'actifs financiers, Délit d'initié, EDSPR, EDSR, Enlargement of filtration, FBSDE, Grossissement de filtration, Hedging of contingent claims, Incomplete market, Insider trading, Marché complet, Marché incomplet, Martingale Representation Theorem, Mesure martingale minimale, Minimal martingale measure, Probabilité neutre au risque, Risk-neutral probability, Théorème de représentation de martingales