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Enlargement of filtration with finan...

Aksamit, Anna.

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Enlargement of filtration with finance in view

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Enlargement of filtration with finance in view/ by Anna Aksamit, Monique Jeanblanc.
作者:	Aksamit, Anna.
其他作者:	Jeanblanc, Monique.
出版者:	Cham :Springer International Publishing : : 2017.,
面頁冊數:	x, 150 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Stochastic processes. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-41255-9
ISBN:	9783319412559

Enlargement of filtration with finance in view
Aksamit, Anna.

Enlargement of filtration with finance in view[electronic resource] /by Anna Aksamit, Monique Jeanblanc. - Cham :Springer International Publishing :2017. - x, 150 p. :ill., digital ;24 cm. - Springerbriefs in quantitative finance,2192-7006. - Springerbriefs in quantitative finance..

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.

ISBN: 9783319412559

Standard No.: 10.1007/978-3-319-41255-9doiSubjects--Topical Terms:

520663
Stochastic processes.

LC Class. No.: QA274

Dewey Class. No.: 519.22

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