Enlarged filtrations and indistinguishable processes

DOI10.1080/07362994.2019.1679180zbMATH Open1427.60074OpenAlexW2983559497WikidataQ126866472 ScholiaQ126866472MaRDI QIDQ5206085FDOQ5206085

Authors: Markus Hess 

Publication date: 18 December 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2019.1679180

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zbMATH Keywords

stochastic differential equationPoisson random measureRadon-Nikodym densityweather derivativeenlarged filtrationLévy processDoléans-Dade exponentialindistinguishable processesmartingale compensatorprecipitation swap

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Economics of information (91B44) Optimal stochastic control (93E20)

Cites Work

• Financial Modelling with Jump Processes
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• Models for Insider Trading with Finite Utility
• A general stochastic calculus approach to insider trading
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Time reversal on Lévy processes
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
• Modeling and pricing precipitation derivatives under weather forecasts
• Title not available (Why is that?)

Cited In (1)

• Enlargement of Filtration in Discrete Time

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