摘要翻译：
本文从一个更知情的代理人的角度考虑分位数套期保值问题。智能体的附加知识是通过一个过滤来建模的，这个过滤最初是由一些随机变量放大的。利用Amendinger(2000)和Amendinger、Imkeller和Schweizer(1998)中引入的等价鞅测度，将F{o}llmer和Leukert(1999)中的结果推广到内部情况，解决了完全情况下的问题，最后，我们考虑了标准Black-Scholes模型下的显式计算的例子。
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英文标题：
《Quantile hedging for an insider》
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作者：
Przemyslaw Klusik, Zbigniew Palmowski, Jakub Zwierz
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最新提交年份：
2008
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this paper we consider the problem of the quantile hedging from the point of view of a better informed agent acting on the market. The additional knowledge of the agent is modelled by a filtration initially enlarged by some random variable. By using equivalent martingale measures introduced in Amendinger (2000) and Amendinger, Imkeller and Schweizer (1998) we solve the problem for the complete case, by extending the results obtained in F{\"o}llmer and Leukert (1999) to the insider context. Finally, we consider the examples with the explicit calculations within the standard Black-Scholes model.
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PDF链接：
https://arxiv.org/pdf/0811.3749