Arbitrages in a Progressive Enlargement Setting
2014; World Scientific; Linguagem: Inglês
10.1142/9789814602075_0004
ISSN2010-2240
AutoresAnna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc,
Tópico(s)State Capitalism and Financial Governance
ResumoPeking University Series in MathematicsArbitrage, Credit and Informational Risks, pp. 53-86 (2014) No AccessArbitrages in a Progressive Enlargement SettingAnna Aksamit, Tahir Choulli, Jun Deng, and Monique JeanblancAnna AksamitLaboratoire Analyse et Probabilités, Université d'Evry Val d'Essonne, Evry, France, Tahir ChoulliMathematical and Statistical Sciences Depart., University of Alberta, Edmonton, Canada, Jun DengMathematical and Statistical Sciences Depart., University of Alberta, Edmonton, Canada, and Monique JeanblancLaboratoire Analyse et Probabilités, Université d'Evry Val d'Essonne, Evry, Francehttps://doi.org/10.1142/9789814602075_0004Cited by:9 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: This paper completes the analysis of Choulli et al. [6] and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while they preserve the No Unbounded Profit with Bounded Risk under random horizon and when an honest time is incorporated for particular cases of models. For these markets, we calculate explicitly the arbitrage opportunities. The second contribution lies in providing simple proofs for the stability of the No Unbounded Profit with Bounded Risk under random horizon and after honest time satisfying additional important condition for particular cases of models. FiguresReferencesRelatedDetailsCited By 9Characterisation of Honest Times and Optional Semimartingales of Class-$$(\Sigma )$$Libo Li17 January 2022 | Journal of Theoretical Probability, Vol. 35, No. 4Thin times and random times' decompositionAnna Aksamit, Tahir Choulli and Monique Jeanblanc1 Jan 2021 | Electronic Journal of Probability, Vol. 26, No. noneA martingale representation theorem and valuation of defaultable securitiesTahir Choulli, Catherine Daveloose and Michèle Vanmaele8 April 2020 | Mathematical Finance, Vol. 30, No. 4Структурные условия при прогрессивно добавляемой информацииТ Чоулли, T Choulli, Jun Deng and Jun Deng22 July 2020 | Теория вероятностей и ее применения, Vol. 65, No. 3No-arbitrage under a class of honest timesAnna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc29 November 2017 | Finance and Stochastics, Vol. 22, No. 1No-arbitrage up to random horizon for quasi-left-continuous modelsAnna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc29 June 2017 | Finance and Stochastics, Vol. 21, No. 4Projections, Pseudo-Stopping Times and the Immersion PropertyAnna Aksamit and Libo Li19 November 2016Characterization of max-continuous local martingales vanishing at infinityBeatrice Acciaio and Irina Penner1 Jan 2016 | Electronic Communications in Probability, Vol. 21, No. noneOn an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged FiltrationAnna Aksamit, Tahir Choulli and Monique Jeanblanc1 Jan 2015 Arbitrage, Credit and Informational RisksMetrics History PDF download
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