Enlargement of Filtration with Finance in View

There are no comparable books on the market
Provides a comprehensive introduction to the subject

Contains very recent results on application to finance, especially on arbitrages and insider trading
Covers the case with jumping martingales, which is not represented in recent text books and articles on enlargement of filtration

Provides a comprehensive introduction to the subject Contains very recent results on application to finance, especially on arbitrages and insider trading Covers the case with jumping martingales, which is not represented in recent text books and articles on enlargement of filtration There are no comparable books on the market Includes supplementary material: sn.pub/extras

Zusammenfassung
There are no comparable books on the market
Provides a comprehensive introduction to the subject

Contains very recent results on application to finance, especially on arbitrages and insider trading
Covers the case with jumping martingales, which is not represented in recent text books and articles on enlargement of filtration

Inhalt

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.