9783319412542-331941254X-Enlargement of Filtration with Finance in View (SpringerBriefs in Quantitative Finance)

Enlargement of Filtration with Finance in View (SpringerBriefs in Quantitative Finance)

ISBN-13: 9783319412542
ISBN-10: 331941254X
Edition: 1st ed. 2017
Author: Monique Jeanblanc, Anna Aksamit
Publication date: 2017
Publisher: Springer
Format: Paperback 160 pages
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Book details

ISBN-13: 9783319412542
ISBN-10: 331941254X
Edition: 1st ed. 2017
Author: Monique Jeanblanc, Anna Aksamit
Publication date: 2017
Publisher: Springer
Format: Paperback 160 pages

Summary

Enlargement of Filtration with Finance in View (SpringerBriefs in Quantitative Finance) (ISBN-13: 9783319412542 and ISBN-10: 331941254X), written by authors Monique Jeanblanc, Anna Aksamit, was published by Springer in 2017. With an overall rating of 4.3 stars, it's a notable title among other books. You can easily purchase or rent Enlargement of Filtration with Finance in View (SpringerBriefs in Quantitative Finance) (Paperback) from BooksRun, along with many other new and used books and textbooks. And, if you're looking to sell your copy, our current buyback offer is $0.3.

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.

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