Abstract (EN)

We consider the hedging problem in an arbitrage-free incomplete financial market, where there are two kinds of investors with different levels of information about the future price evolution, described by two filtrations F and G=F∨σ(G) where G is a given r.v. representing the additional information. We focus on two types of quadratic approaches to hedge a given square-integrable contingent claim: local risk minimization (LRM) and mean-variance hedging (MVH). By using initial enlargement of filtrations techniques, we solve the hedging problem for both investors and compare their optimal strategies under both approaches. In particular, for LRM, we show that for a large class of additional non trivial r.v.s G both investors will pursue the same locally risk minimizing portfolio strategy and the cost process of the ordinary agent is just the projection on F of that of the insider. For the MVH approach, we study also some general stochastic volatility model, including Hull and White, Heston and Stein and Stein models. In this more specific setting and for r.v.s G which are measurable with respect to the filtration generated by the volatility process, we obtain an expression for the insider optimal strategy in terms of the ordinary agent optimal strategy plus a process admitting a simple feedback-type representation.