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

Acciaio, Beatrice and Fontana, Claudio and Kardaras, Constantinos (2016) Arbitrage of the first kind and filtration enlargements in semimartingale financial models. Stochastics Processes and Their Applications, 126 (6). pp. 1761-1784. ISSN 0304-4149

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Identification Number: 10.1016/j.spa.2015.12.004

Abstract

In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (View the MathML sourceNA1) (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 View the MathML sourceNA1 stability for all semimartingale models.

Item Type: Article
Official URL: http://www.journals.elsevier.com/stochastic-proces...
Additional Information: © 2015 Elsevier B.V.
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Sets: Collections
Departments > Statistics
Date Deposited: 26 Jan 2016 11:42
Last Modified: 20 Sep 2017 11:59
Projects: PIEF-GA-2012-332345, PIEF-GA-2012-332345
Funders: 7th European Community Framework Programme, Seventh Framework Programme
URI: http://eprints.lse.ac.uk/id/eprint/65150

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