Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach
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Publication:5493549
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
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)
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