Enlargement of Filtration with Finance in View (SpringerBriefs in Quantitative Finance)

Anna Aksamit, Monique Jeanblanc

ISBN 10: 331941254X / ISBN 13: 9783319412542

Published by Springer 2017-12-20, 2017

About this Item

Seller Inventory # 6666-IUK-9783319412542

Bibliographic Details

• Title: Enlargement of Filtration with Finance in View (SpringerBriefs in Quantitative Finance)
• Publisher: Springer 2017-12-20
• Publication Date: 2017
• Language: English
• ISBN 10: 331941254X
• ISBN 13: 9783319412542
• Binding: Paperback
• Condition: New

About this title

Synopsis

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.