This volume presents classical results of the theory of enlargement of filtration. The focus is
on the behavior of martingales with respect to the enlarged filtration and related objects. The
study is conducted in various contexts including immersion progressive enlargement with a
random time and initial enlargement with a random variable. The aim of this book is to collect
the main mathematical results (with proofs) previously spread among numerous papers great part
of which is only available in French. Many examples and applications to finance in particular
to credit risk modelling and the study of asymmetric information are provided to illustrate
the theory. A detailed summary of further connections and applications is given in
bibliographic notes which enables to deepen study of the topic. This book fills a gap in the
literature and serves as a guide for graduate students and researchers interested in the role
of information in financial mathematics and in econometric science. A basic knowledge of the
general theory of stochastic processes is assumed as a prerequisite.
