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

Beatrice Acciaio, Claudio Fontana and Constantinos Kardaras

Papers from arXiv.org

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.

Date: 2014-01, Revised 2015-05
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