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Enlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach · Study

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ChapterEnlargement of Filtration and Additional Information in Pricing Models: Bayesian Approach

Dario Gasbarra2006

Chapter2006

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

Dario Gasbarra · Esko Valkeila · L. JU. Vostrikova

25 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Target Tracking and Data Fusion in Sensor Networks

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References

1999Continuous Martingales and Brownian Motion 2003Limit Theorems for Stochastic Processes 1979Calcul Stochastique et Problèmes de Martingales 2019Semimartingale Theory and Stochastic Calculus 1980Semi-Martingales et Grossissement d’une Filtration 1985Grossissement initial, hypothese (H′) et theoreme de Girsanov 1998Additional logarithmic utility of an insider 1978Calcul stochastique d�pendant d'un param�tre

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2017The strong predictable representation property in initially enlarged filtrations under the density hypothesis

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Year2006

Typechapter

Published2006-01-01

VenueSpringer eBooks

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-30788-4_13

openalex_workW86910012

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