Enlargement of Filtration with Finance in View

Nonfiction, Science & Nature, Mathematics, Applied, Statistics, Business & Finance
Cover of the book Enlargement of Filtration with Finance in View by Monique Jeanblanc, Anna Aksamit, Springer International Publishing
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Author: Monique Jeanblanc, Anna Aksamit ISBN: 9783319412559
Publisher: Springer International Publishing Publication: November 18, 2017
Imprint: Springer Language: English
Author: Monique Jeanblanc, Anna Aksamit
ISBN: 9783319412559
Publisher: Springer International Publishing
Publication: November 18, 2017
Imprint: Springer
Language: English

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.

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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.

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