E-Book, Englisch, 150 Seiten, eBook
Reihe: SpringerBriefs in Quantitative Finance
ISBN: 978-3-319-41255-9
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
Theory of Stochastic Processes.- Semimartingales.- Change of probability and Girsanov’s Theorem.- Projections and Dual Projections.- Exercises .-Bibliographic.- Compensators of Random .- Compensator of a Default Indicator in its own Filtration.- Compensator of the Default Process in a General Setting .- Cox Processes and Extensions.- Study of Azéma’s supermartingale in general setting.- Exercices .- Bibliographic Notes.-Immersion Property.- Immersion of Immersion in a Progressive Enlargement of Filtration.- Multidefaults Setting.-Exercices .- Bibliographic.- Initial Enlargement.- Brownian and Poisson Bridges.- Insider Trading.- Enlargement of Filtration setting.- Yor’s Method.-Jacod’s Absolute Continuity Condition.- Jacod’s Equivalence Condition.- List of examples in the Literature.- Bibliographic Notes.- Progressive Enlargement.-
G-
semimartingale decomposition of
F
-martingales before
t
.- Honest Times.- (
E
)-times.- 5.4 Pseudo-stopping Times.- Predictable Representation property.-Enlargement with the filtration generated by a continuous process .- Arbitrages in a progressive Enlargement.- Applications of (
E
)-times to Finance.- Exercises.- Bibliographic Notes.- Solutions to some exercises.- Indexes.