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SpringerBriefs in Quantitative Finance

Enlargement of Filtration with Finance in View

Authors: Aksamit, Anna, Jeanblanc, Monique

  • There are no comparable books on the market
  • Provides a comprehensive introduction to the subject
  • Contains very recent results on application to finance, especially on arbitrages and insider trading
  • Covers the case with jumping martingales, which is not represented in recent text books and articles on enlargement of filtration
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eBook £31.99
price for United Kingdom (gross)
  • ISBN 978-3-319-41255-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover £39.99
price for United Kingdom (gross)
  • ISBN 978-3-319-41254-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.


Table of contents (5 chapters)

Buy this book

eBook £31.99
price for United Kingdom (gross)
  • ISBN 978-3-319-41255-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover £39.99
price for United Kingdom (gross)
  • ISBN 978-3-319-41254-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Enlargement of Filtration with Finance in View
Authors
Series Title
SpringerBriefs in Quantitative Finance
Copyright
2017
Publisher
Springer International Publishing
Copyright Holder
The Author(s)
eBook ISBN
978-3-319-41255-9
DOI
10.1007/978-3-319-41255-9
Softcover ISBN
978-3-319-41254-2
Series ISSN
2192-7006
Edition Number
1
Number of Pages
X, 150
Topics