Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
DOI10.1007/978-3-540-30788-4_13zbMATH Open1101.62101OpenAlexW86910012MaRDI QIDQ5493549FDOQ5493549
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
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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)
Cited In (11)
- The strong predictable representation property in initially enlarged filtrations under the density hypothesis
- Successive enlargement of filtrations and application to insider information
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Expected utility maximization for exponential Lévy models with option and information processes
- What happens after a default: the conditional density approach
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Initial enlargement in a Markov chain market model
- Initial enlargement of filtrations and entropy of Poisson compensators
- Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
- Generalized Gaussian bridges
- Dynamic equilibrium with insider information and general uninformed agent utility
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