Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Acciaio, B., Fontana, C. & Kardaras, C.
(2016).
Arbitrage of the first kind and filtration enlargements in semimartingale financial models.
Stochastic Processes and Their Applications,
126(6), 1761-1784.
https://doi.org/10.1016/j.spa.2015.12.004
(2016).
Arbitrage of the first kind and filtration enlargements in semimartingale financial models.
Stochastic Processes and Their Applications,
126(6), 1761-1784.
https://doi.org/10.1016/j.spa.2015.12.004
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.