Téléchargez le livre : Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View

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Éditeur :

Springer


Collection :

SpringerBriefs in Quantitative Finance

Paru le : 2017-11-18

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Description

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.
Pages
150 pages
Collection
SpringerBriefs in Quantitative Finance
Parution
2017-11-18
Marque
Springer
EAN papier
9783319412542
EAN PDF
9783319412559
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
15
Taille du fichier
2509 Ko
Prix
68,56 €
EAN EPUB
9783319412559
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
15
Taille du fichier
3983 Ko
Prix
68,56 €

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