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Enlargement of Filtration with Finance in View

  • Anna Aksamit
  • Monique Jeanblanc

Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-x
  2. Anna Aksamit, Monique Jeanblanc
    Pages 1-27
  3. Anna Aksamit, Monique Jeanblanc
    Pages 29-51
  4. Anna Aksamit, Monique Jeanblanc
    Pages 53-67
  5. Anna Aksamit, Monique Jeanblanc
    Pages 69-100
  6. Anna Aksamit, Monique Jeanblanc
    Pages 101-134
  7. Back Matter
    Pages 135-150

About this book

Introduction

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.


Keywords

91Gxx,60-XX. enlargement of filtration honest times arbitrages jumping martingales

Authors and affiliations

  • Anna Aksamit
    • 1
  • Monique Jeanblanc
    • 2
  1. 1.School of Mathematics and StatisticsUniversity of SydneySydneyAustralia
  2. 2.Laboratoire de Mathématiques et ModélisationUniversité d‘Evry Val D’EssonneÉvryFrance

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-41255-9
  • Copyright Information The Author(s) 2017
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-41254-2
  • Online ISBN 978-3-319-41255-9
  • Series Print ISSN 2192-7006
  • Series Online ISSN 2192-7014
  • Buy this book on publisher's site