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Asymmetric or partial information in financial markets may be
represented by different filtrations. We consider the case of a
larger filtration – the natural filtration of the
“model world” – and a subfiltration that
represents the information available to an agent in the “real
world”. Given a price system on the larger filtration that is
represented by a martingale measure and an associated numeraire , we show that there is a canonical and nontrivial numeraire Ŝ such that the price system...
La moderna finanza matematica è un settore interdisciplinare tra economia e matematica che, allo stato attuale, è a forte contenuto matematico, soprattutto probabilistico. Iniziamo questo articolo accennando alle origini di questa disciplina, che non sono molto lontane nel tempo e che erano di natura più economica/econometrica. Successivamente arriveremo a descrivere gli sviluppi più recenti e più tipicamente matematici.
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