Enlargement of Filtration with Finance in View 2017 Edition Contributor(s): Aksamit, Anna (Author), Jeanblanc, Monique (Author) |
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ISBN: 331941254X ISBN-13: 9783319412542 Publisher: Springer OUR PRICE: $66.49 Product Type: Paperback - Other Formats Published: November 2017 |
Additional Information |
BISAC Categories: - Mathematics | Applied - Mathematics | Probability & Statistics - General |
Dewey: 519 |
Series: Springerbriefs in Quantitative Finance |
Physical Information: 0.35" H x 6.14" W x 9.21" (0.52 lbs) 150 pages |
Descriptions, Reviews, Etc. |
Publisher Description: This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic.
This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite. |