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Lecture series on enlargement of filtration and applications in Finance (V)
时间  Datetime
2018-10-11 16:00 — 18:00 
地点  Venue
112,Lower Hall
报告人  Speaker
Monique Jeanblanc 教授
单位  Affiliation
Université d’Evry
邀请人  Host
林一青
报告摘要  Abstract

In this series of lectures, we present the role of the information in Finance. We study that problem using the theory of enlargement of filtration. We start from the case of discrete-time martingales and show how the martingale property is lost when the filtration is enlarged. Then, we show how the results can be extended in a continuous time case, and we study the problem of insider trading: we show how a financial agent can make profit using private information, and we give conditions that prevent from arbitrages.