Name: Enlargement of Filtration With Finance in View (Springerbriefs in Quantitative Finance) (en Inglés)
Price: 402.23 PEN
Availability: InStock
Author: Anna Aksamit; Monique Jeanblanc
ISBN: 9783319412542

portada Enlargement of Filtration With Finance in View (Springerbriefs in Quantitative Finance) (en Inglés)

Formato

Libro Físico

Editorial

Springer

Autor

Anna Aksamit; Monique Jeanblanc

Año

2017

Idioma

Inglés

N° páginas

150

Encuadernación

Tapa Blanda

ISBN13

9783319412542

N° edición

Categorías

Matemáticas aplicadas

Enlargement of Filtration With Finance in View (Springerbriefs in Quantitative Finance) (en Inglés)

Anna Aksamit; Monique Jeanblanc (Autor) · Springer · Tapa Blanda

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S/ 402,23

S/ 670,38

Ahorras: S/ 268,15

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Reseña del libro "Enlargement of Filtration With Finance in View (Springerbriefs in Quantitative Finance) (en Inglés)"

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.