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- W3209507587 abstract "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 including insight information and one has to recur to more sophisticated tools such as the enlargement of filtrations. We show how to apply this technique to value the anticipative information about the short interest rate. We model the short rates by an affine diffusion process and compute the optimal portfolio for a large class of insight information and different utility functions. We conclude with a more detailed analysis of the Vasicek model and with some numerical examples." @default.
- W3209507587 created "2021-11-08" @default.
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- W3209507587 date "2021-11-01" @default.
- W3209507587 modified "2023-10-16" @default.
- W3209507587 title "Valuing the anticipative information on the stochastic short interest rates" @default.
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