In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...

In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...

In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...

We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...

An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...