Some Remarks on Enlargement of Filtration and Finance

DOI10.1007/978-3-031-12244-6_9zbMath1525.60052OpenAlexW4376616407MaRDI QIDQ6061110

Monique Jeanblanc-Picqué

Publication date: 3 December 2023

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-12244-6_9

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Credit risk (91G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• No arbitrage of the first kind and local martingale numéraires
• On Cox processes and credit risky securities
• On arbitrages arising with honest times
• Calcul stochastique et problèmes de martingales
• The strong predictable representation property in initially enlarged filtrations under the density hypothesis
• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Random times and enlargements of filtrations in a Brownian setting.
• Mathematical methods for financial markets.
• An essay on the general theory of stochastic processes
• Semi-martingales et grossissement d'une filtration
• A monetary value for initial information in portfolio optimization
• Default times, no-arbitrage conditions and changes of probability measures
• Integral representations of martingales for progressive enlargements of filtrations
• The mathematics of arbitrage
• On Models of Default Risk
• No-arbitrage for informational discrete time market models
• Enlargement of Filtration with Finance in View
• Arbitrages in a Progressive Enlargement Setting
• Study of a filtration expanded to include an honest time
• Insider Trading in a Continuous Time Market Model
• Characteristics and Constructions of Default Times
• Enlargement of Filtration in Discrete Time
• PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
• Carthaginian enlargement of filtrations
• Arbitrage Theory in Continuous Time
• Generalized Cox model for default times
• Expansion of a filtration with a stochastic process: the information drift

This page was built for publication: Some Remarks on Enlargement of Filtration and Finance