Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

DOI10.1007/978-3-540-30788-4_13zbMath1101.62101OpenAlexW86910012MaRDI QIDQ5493549

Esko Valkeila, Dario Gasbarra, Lioudmila Vostrikova

Publication date: 23 October 2006

Published in: From Stochastic Calculus to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-30788-4_13

zbMATH Keywords

pricing modelssemimartingale characteristicsenlargement of filtrations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (9)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ INITIAL ENLARGEMENT IN A MARKOV CHAIN MARKET MODEL ⋮ Initial enlargement of filtrations and entropy of Poisson compensators ⋮ Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes ⋮ Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Lévy random bridges and the modelling of financial information ⋮ What happens after a default: the conditional density approach ⋮ Generalized Gaussian bridges

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