Consistent price systems for subfiltrations

DOI10.1051/ps:2007004zbMath1182.91216OpenAlexW2069031901MaRDI QIDQ5429589

Wolfgang J. Runggaldier, Andrea Gombani, Stefan R. Jaschke

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__35_0

zbMATH Keywords

filteringpartial informationconsistent price systemsnumeraire

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (3)

RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ A filtered no arbitrage model for term structures from noisy data

Cites Work

• Correlation and the pricing of risks
• A filtered no arbitrage model for term structures from noisy data
• Changes of filtrations and of probability measures
• Changes of numéraire, changes of probability measure and option pricing
• Arbitrage Theory in Continuous Time
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• Unnamed Item

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