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Enlargement of Filtration with Finance in View (Paperback, 1st ed. 2017) Loot Price: R2,414
Discovery Miles 24 140
Enlargement of Filtration with Finance in View (Paperback, 1st ed. 2017): Anna Aksamit, Monique Jeanblanc

Enlargement of Filtration with Finance in View (Paperback, 1st ed. 2017)

Anna Aksamit, Monique Jeanblanc

Series: SpringerBriefs in Quantitative Finance

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Loot Price R2,414 Discovery Miles 24 140 | Repayment Terms: R226 pm x 12*

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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

Imprint: Springer International Publishing AG
Country of origin: Switzerland
Series: SpringerBriefs in Quantitative Finance
Release date: November 2017
First published: 2017
Authors: Anna Aksamit • Monique Jeanblanc
Dimensions: 235 x 155mm (L x W)
Format: Paperback
Pages: 150
Edition: 1st ed. 2017
ISBN-13: 978-3-319-41254-2
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Business & Economics > Economics > Econometrics > Economic statistics
Books > Business & Economics > Finance & accounting > Finance > General
Books > Money & Finance > General
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LSN: 3-319-41254-X
Barcode: 9783319412542

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