Enlargement of Filtration with Finance in View

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 i...

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Main Authors: Aksamit, Anna, Jeanblanc, Monique (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2017, 2017
Edition:1st ed. 2017
Series:SpringerBriefs in Quantitative Finance
Subjects:
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Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Summary: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
Physical Description:X, 150 p online resource
ISBN:9783319412559