Enlarged filtrations and indistinguishable processes

DOI10.1080/07362994.2019.1679180MaRDI QIDQ5206085zbMATH OpenOpenAlexWikidataFDO

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

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)

Recommendations

• Enlargement of filtrations with random times for processes with jumps
• Enlargement of Filtrations and Continuous Girsanov-Type Embeddings
• Optimal equivalent probability measures under enlarged filtrations
• \(\varepsilon\)-close measures producing nonisomorphic filtrations
• Modeling and pricing precipitation derivatives under weather forecasts

Cites work

• scientific article; zbMATH DE number 4096511 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A general stochastic calculus approach to insider trading
• Financial Modelling with Jump Processes
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
• Mathematical methods for financial markets.
• Modeling and pricing precipitation derivatives under weather forecasts
• Models for Insider Trading with Finite Utility
• Optimal portfolio for an insider in a market driven by Lévy processes§
• PRICING TEMPERATURE DERIVATIVES UNDER WEATHER FORECASTS
• Time reversal on Lévy processes

Cited in

(1)

• Enlargement of Filtration in Discrete Time

This page was built for publication: Enlarged filtrations and indistinguishable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5206085)