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

DOI10.1007/978-3-540-30788-4_13MaRDI QIDQ5493549zbMATH OpenOpenAlexFDO

Authors Dario Gasbarra, Esko Valkeila, 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

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

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• What happens after a default: the conditional density approach
• Free lunch and arbitrage possibilities in a financial market model with an insider.
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• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
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