Arbitrages in a Progressive Enlargement Setting

DOI10.1142/9789814602075_0004zbMath1327.91068arXiv1312.2433OpenAlexW4213173919MaRDI QIDQ3195062

Anna Aksamit, Jun Deng, Tahir Choulli, Monique Jeanblanc-Picqué

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/1312.2433

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (13)

Structure condition under initial enlargement of filtration ⋮ Explicit description of all deflators for market models under random horizon with applications to NFLVR ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ The existence of dominating local martingale measures ⋮ Some Remarks on Enlargement of Filtration and Finance ⋮ Integral representations of martingales for progressive enlargements of filtrations ⋮ No-arbitrage under a class of honest times ⋮ Structure Conditions under Progressively Added Information ⋮ Change of measure up to a random time: details ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Thin times and random times' decomposition ⋮ Characterisation of honest times and optional semimartingales of class-\((\Sigma)\) ⋮ Projections, Pseudo-Stopping Times and the Immersion Property

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