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

2014/01/28 by Beatrice Acciaio, Acciaio, Beatrice, Claudio Fontana +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #60G44 #91G10 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1401.7198

openalex publication_date 2014/01/28 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28

Abstract

In a general semimartingale financial model, we study the stability of the No\nArbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with\nBounded Risk) condition under initial and under progressive filtration\nenlargements. In both cases, we provide a simple and general condition which is\nsufficient to ensure this stability for any fixed semimartingale model.\nFurthermore, we give a characterisation of the NA1 stability for all\nsemimartingale models.\n

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