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

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  • Beatrice Acciaio
  • Claudio Fontana
  • Constantinos Kardaras
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    Abstract

    In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, we give a characterisation of the NA1 stability for all semimartingale models.

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    File URL: http://arxiv.org/pdf/1401.7198
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1401.7198.

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    Date of creation: Jan 2014
    Date of revision: Feb 2014
    Handle: RePEc:arx:papers:1401.7198

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    Web page: http://arxiv.org/

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    1. Xin Guo & Yan Zeng, 2008. "Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem," Papers 0801.3191, arXiv.org.
    2. Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012. "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, vol. 16(3), pages 513-535, July.
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    Cited by:
    1. Tahir Choulli & Jun Deng, 2014. "Non-arbitrage for Informational Discrete Time Market Models," Papers 1407.1453, arXiv.org.
    2. Shiqi Song, 2014. "No-arbitrage condition for $S^{\mathfrak{t}-}$ in a progressively enlarged filtration," Papers 1405.4474, arXiv.org.

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