Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View

Springer | English | Dec 2017 | ISBN-10: 331941254X | 150 Pages | PDF | 2.45 mb
by Anna Aksamit (Author),? Monique Jeanblanc (Author)

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.

Download:

http://longfiles.com/fw8e8713b9pu/Enlargement_of_Filtration_with_Finance_in_View.pdf.html

[Fast Download] Enlargement of Filtration with Finance in View


Ebooks related to "Enlargement of Filtration with Finance in View" :
Ship Resistance and Propulsion: Practical Estimation of Ship Propulsive Power, Second Edition
Accounting Guide: Brokers and Dealers in Securities 2017
Enterprises, Localities, People, and Policy in the South China Sea: Beneath the Surface
The Emergence of EU Defense Research Policy: From Innovation to Militarization
Artificial Economics: Agent-Based Methods in Finance, Game Theory and Their Applications
The Economy of Ghana Sixty Years after Independence
Bankkredit adieu! Die besten Finanzierungsalternativen: Neue Wege der Kapitalbeschaffung
Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic
The Ultimate Book of Business Breakthroughs: Lessons from the 20 Greatest Business Decisions Ever Ma
The Complete Idiot's Guide to Improving Your IQ
Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.