Enlargement of filtration with finance in view / Anna Aksamit, Monique Jeanblanc.
By: Aksamit, Anna [author.].
Contributor(s): Jeanblanc, Monique [author.].
Material type: BookSeries: SpringerBriefs in Quantitative Finance.Publisher: New York, NY : Springer Berlin Heidelberg, 2017.Description: pages cm.Content type: text Media type: unmediated Carrier type: volumeISBN: 9783319412542 :.Subject(s): Mathematics | Stochastic processes | Finance -- Mathematical models | Distribution (Probability theory)DDC classification: 519.22Item type | Current location | Call number | Copy number | Status | Date due |
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Monograph | Indian Institute of Management Udaipur B1/3 | 519.22 (Browse shelf) | 1 | Available |
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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.
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