Search for dissertations about: "enlargement of filtrations"

Found 1 swedish dissertation containing the words enlargement of filtrations.

2. 1. Information and Default Risk in Financial Valuation

   Author : Marta Leniec; Erik Ekström; Christoph Kühn; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; pricing; valuation; American options; Dynkin games; optimal stopping problem; optimal stopping games; credit risk; default risk; information; filtration; enlargement of filtrations;

   Abstract : This thesis consists of an introduction and five articles in the field of financial mathematics. The main topics of the papers comprise credit risk modelling, optimal stopping theory, and Dynkin games. An underlying theme in all of the articles is valuation of various financial instruments. READ MORE