Blar i Discussion papers (FOR) på forfatter "Øksendal, Bernt"

Viser treff 1-10 av 10

    • An anticipative linear filtering equation 

      Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper, Working paper, 2010-08)

    • A general stochastic calculus approach to insider trading 

      Biagini, Francesca; Øksendal, Bernt (Discussion paper, Working paper, 2002-12)
      The purpose of this paper is to present a general stochastic calculus approach to insider trading. In a market driven by a standard Brownian motion B(t) on a filtered probability space (Ω, F, {F}t>0, P), by an insider we ...

    • Insider trading with partially informed traders 

      Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper;2011:21, Working paper, 2011-11)
      The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise ...

    • Optimal consumption and portfolio in a jump diffusion market 

      Framstad, Nils Christian; Øksendal, Bernt; Sulem, Agnès (Discussion paper, Working paper, 2001-06)
      We consider the problem of optimal consumption and portfolio in a jump diffusion market consisting of a bank account and a stock, whose price is modeled by a geometric Lévy process. We show that in the absence of transaction ...

    • A short introduction to mathematical finance 

      Øksendal, Bernt (Discussion paper, Working paper, 1998)
      We give a brief survey of some fundamental concepts, methods and results in the mathematics of finance. The survey covers the 3 topics Chapter 1: Markets and arbitrages. The one-period model. The multi-period model. The ...

    • Stochastic Stackelberg equilibria with applications to time dependent newsvendor models 

      Sandal, Leif Kristoffer; Øksendal, Bernt; Ubøe, Jan (Discussion paper, Working paper, 2011-05)

    • Strategic insider trading equilibrium : a filter theory approach 

      Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper, Working paper, 2010-08)
      The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying liquidity trading, and by having weaker ...

    • Strategic insider trading equilibrium : a forward integration approach 

      Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper, Working paper, 2007-11)
      The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ...

    • Strategic Insider Trading Equilibrium with a non-fiduciary market maker 

      Aase, Knut K.; Øksendal, Bernt (Discussion paper;2/19, Working paper, 2019-08-28)
      The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected ...

    • Strategic Insider Trading in Continuous Time: A New Approach 

      Aase, Knut K.; Øksendal, Bernt (Discussion paper;3/19, Working paper, 2019-08-29)
      The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized by allowing time-varying noise trading. From rather simple assumptions we are able to derive the ...