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Enlargement of Filtration with Finance in View (Paperback, 1st ed. 2017)
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Enlargement of Filtration with Finance in View (Paperback, 1st ed. 2017)
Series: SpringerBriefs in Quantitative Finance
Expected to ship within 10 - 15 working days
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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.
General
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