Successive enlargement of filtrations and application to insider information *
Résumé
We model in a dynamic way an insider's private information flow which is successively augmented by a family of initial enlargement of filtrations. According to the a priori available information, we propose several density hypotheses which are presented in hierarchical order from the weakest one to the stronger ones. We compare these hypotheses, in particular, with the Jacod's one, and deduce conditional expectations under each of them by providing consistent expressions with respect to the common reference filtration. Finally, this framework is applied to a default model with insider information on the default threshold and some numerical illustrations are performed.
Domaines
Mathématiques [math]| Origine | Fichiers produits par l'(les) auteur(s) |
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