Bøger af Monique Jeanblanc

Stochastic processes of common use in mathematical finance are presented in this book, which interlaces financial concepts and instruments such as arbitrage opportunities, option pricing and default risk with Brownian motion and Levy and diffusion processes.

This volume presents classical results of the theory of enlargement of filtration. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable.

The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton.

The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming!