Authors:
- 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
- There are no comparable books on the market
- Includes supplementary material: sn.pub/extras
Part of the book series: SpringerBriefs in Quantitative Finance (BRIEFFINANCE)
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Table of contents (5 chapters)
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Front Matter
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Back Matter
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.
Reviews
“The book is devoted to enlargement of filtration – an important tool and field of study in the theory of stochastic processes. … The book is a useful reading for students and professionals in theory and practice of finance.” (Pavel Stoynov, zbMATH 1397.91003, 2018)
Authors and Affiliations
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School of Mathematics and Statistics, University of Sydney, Sydney, Australia
Anna Aksamit
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Laboratoire de Mathématiques et Modélisation, Université d‘Evry Val D’Essonne, Évry, France
Monique Jeanblanc
Bibliographic Information
Book Title: Enlargement of Filtration with Finance in View
Authors: Anna Aksamit, Monique Jeanblanc
Series Title: SpringerBriefs in Quantitative Finance
DOI: https://doi.org/10.1007/978-3-319-41255-9
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s) 2017
Softcover ISBN: 978-3-319-41254-2Published: 27 November 2017
eBook ISBN: 978-3-319-41255-9Published: 18 November 2017
Series ISSN: 2192-7006
Series E-ISSN: 2192-7014
Edition Number: 1
Number of Pages: X, 150
Topics: Quantitative Finance, Probability Theory and Stochastic Processes