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

Beatrice Acciaio, Claudio Fontana and Constantinos Kardaras

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: Progressive enlargement of filtrations; initial enlargement of filtrations; arbitrage of the first kind; martingale deflator (search for similar items in EconPapers)
JEL-codes: F3 G3 (search for similar items in EconPapers)
Date: 2016-06-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

Published in Stochastic Processes and Their Applications, 1, June, 2016, 126(6), pp. 1761-1784. ISSN: 0304-4149

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