Arbitrage of the first kind and filtration enlargements in semimartingale financial models

DOI10.1016/j.spa.2015.12.004zbMath1337.60081arXiv1401.7198OpenAlexW2132480854MaRDI QIDQ271853

Beatrice Acciaio, Claudio Fontana, Constantinos Kardaras

Publication date: 20 April 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.7198

zbMATH Keywords

semimartingalesfinancial modelsarbitrage of the first kindinitial enlargement of filtrationsmartingale deflatorprogressive enlargement of filtrations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (21)

Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ Drift operator in a viable expansion of information flow ⋮ Explicit description of all deflators for market models under random horizon with applications to NFLVR ⋮ Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Arbitrage and utility maximization in market models with an insider ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ The value of foresight ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ The existence of dominating local martingale measures ⋮ No arbitrage and multiplicative special semimartingales ⋮ No-arbitrage under a class of honest times ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Martingale representation processes and applications in the market viability under information flow expansion ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Enlargement of Filtration in Discrete Time ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis ⋮ Change of measure up to a random time: details ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT ⋮ The value of informational arbitrage

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