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Enlargement of filtration with finance in view

Author: Anna Aksamit; Monique Jeanblanc-Picqué
Publisher: Cham : Springer, 2017.
Series: SpringerBriefs in quantitative finance.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Aksamit, Anna.
Enlargement of Filtration with Finance in View.
Cham : Springer International Publishing, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Anna Aksamit; Monique Jeanblanc-Picqué
ISBN: 9783319412559 3319412558
OCLC Number: 1012883962
Description: 1 online resource (155 pages).
Contents: Theory of Stochastic Processes --
Semimartingales --
Change of probability and Girsanov's Theorem --
Projections and Dual Projections --
Exercises .-Bibliographic --
Compensators of Random --
Compensator of a Default Indicator in its own Filtration --
Compensator of the Default Process in a General Setting --
Cox Processes and Extensions --
Study of Azéma's supermartingale in general setting --
Exercices --
Bibliographic Notes.-Immersion Property --
Immersion of Immersion in a Progressive Enlargement of Filtration --
Multidefaults Setting.-Exercices --
Bibliographic --
Initial Enlargement --
Brownian and Poisson Bridges --
Insider Trading --
Enlargement of Filtration setting --
Yor's Method.-Jacod's Absolute Continuity Condition --
Jacod's Equivalence Condition --
List of examples in the Literature --
Bibliographic Notes --
Progressive Enlargement.- G-semimartingale decomposition of F-martingales before t --
Honest Times --
(E)-times --
5.4 Pseudo-stopping Times --
Predictable Representation property.-Enlargement with the filtration generated by a continuous process --
Arbitrages in a progressive Enlargement --
Applications of (E)-times to Finance --
Exercises --
Bibliographic Notes --
Solutions to some exercises --
Indexes.
Series Title: SpringerBriefs in quantitative finance.
Responsibility: Anna Aksamit, Monique Jeanblanc.

Abstract:

This volume presents classical results of the theory of enlargement of filtration. The study is conducted in various contexts including immersion, progressive enlargement with a random time and  Read more...

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