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B. Acciaio, M. Huesmann:
"Model-independent pricing with additional information";
Talk: Workshop on "Pathwise methods, Functional Calculus and applications in Mathematical Finance" (Thematic program: Mathematics for Risk in Finance and Energy), WPI, Wolfgang Pauli Institute, Vienna; 2016-04-06.

We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework and discuss two different ways of including additional information. In the first case, the informed agent's information flow is modeled by a filtration which is finer that the one of the uninformed agent. This clearly leads to a richer family of trading strategies, and to a smaller set of pricing measures. In the second case, we assume that the additional information consists in being able to exclude some evolution of the asset price process. In particular, super-replication of a contingent claim is required only along paths falling in the smaller set of admissible paths, and the pricing measures to be considered are only those supported on this set. The talk is based on joint works with Martin Larsson, Alex Cox and Martin Huesmann.

https://www.wpi.ac.at/event_view.php?printable=1&id_activity=212