No-arbitrage Conditions and Absolutely Continuous Changes of Measure
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Publication:3195059
DOI10.1142/9789814602075_0001zbMath1325.91063arXiv1312.4296OpenAlexW3124882284MaRDI QIDQ3195059
Publication date: 21 October 2015
Published in: Arbitrage, Credit and Informational Risks (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.4296
Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)
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Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Arbitrage and utility maximization in market models with an insider ⋮ No arbitrage and multiplicative special semimartingales ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Martingale spaces and representations under absolutely continuous changes of probability ⋮ Market Models with Optimal Arbitrage
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