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

  • Beatrice Acciaio
  • Claudio Fontana
  • Constantinos Kardaras
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    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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    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: May 2015
    Handle: RePEc:arx:papers:1401.7198
    Contact details of provider: Web page: http://arxiv.org/

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    1. 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.
    2. Xin Guo & Yan Zeng, 2008. "Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem," Papers 0801.3191, arXiv.org.
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