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Complements on Continuous Path Processes

  • Monique JeanblancEmail author
  • Marc Yor
  • Marc Chesney
Chapter
  • 3.7k Downloads
Part of the Springer Finance book series (FINANCE)

Abstract

In this chapter, we present the important notion of time change, which will be crucial when studying applications to finance in a Lévy process setting. We then introduce the operation of dual predictable projection, which will be an important tool when working with the reduced form approach in the default risk framework (of course, it has many other applications as will appear clearly in subsequent chapters). We present important facts about general homogeneous diffusions, in particular concerning their Green functions, scale functions and speed measures. These three quantities are of great interest when valuing options in a general setting. We study applications related to last passage times. A section is devoted to enlargements of filtrations, an important subject when dealing with insider trading.

Keywords

Brownian Motion Inside Trading Local Martingale Predictable Process Bessel Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag London 2009

Authors and Affiliations

  1. 1.Dépt. MathématiquesUniversité d’EvryEvryFrance
  2. 2.Labo. Probabilités et Modèles AléatoiresUniversité Paris VIParisFrance
  3. 3.Inst. Schweizerisches Bankwesen (ISB)Universität ZürichZürichSwitzerland

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