On arbitrages arising with honest times (Q457179): Difference between revisions

@@ Property / author @@
-Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
-Normal rank
@@ Property / author @@
+Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B44
@@ Property / Mathematics Subject Classification ID: 91B44 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6348472
@@ Property / zbMATH DE Number: 6348472 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+honest time
@@ Property / zbMATH Keywords: honest time / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+progressive enlargement of filtrations
@@ Property / zbMATH Keywords: progressive enlargement of filtrations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+arbitrage
@@ Property / zbMATH Keywords: arbitrage / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+free lunch with vanishing risk
@@ Property / zbMATH Keywords: free lunch with vanishing risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+local martingale deflator
@@ Property / zbMATH Keywords: local martingale deflator / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q109044693
@@ Property / Wikidata QID: Q109044693 / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2013932684
@@ Property / OpenAlex ID: W2013932684 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1759
@@ Property / arXiv ID: 1207.1759 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
+Normal rank
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+Hedging of contingent claims and maximum price
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+Study of a filtration expanded to include an honest time
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+The Pricing of Options and Corporate Liabilities
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+Processes of Class Sigma, Last Passage Times, and Drawdowns
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+Ito's Integrated Formula for Strict Local Martingales with Jumps
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+Default times, no-arbitrage conditions and changes of probability measures
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+M6—On Minimal Market Models and Minimal Martingale Measures
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+Random times at which insiders can have free lunches
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+Free lunch and arbitrage possibilities in a financial market model with an insider.
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+Martingale representation property in progressively enlarged filtrations
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+Mathematical methods for financial markets.
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+Market viability via absence of arbitrage of the first kind
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+On the characterisation of honest times that avoid all stopping times
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+Strict local martingales and bubbles
@@ Property / cites work: Strict local martingales and bubbles / rank @@
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+Random times and enlargements of filtrations in a Brownian setting.
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+Q5670039
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+An essay on the general theory of stochastic processes
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+A reading guide for last passage times with financial applications in view
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+Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
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+Martingale densities for general asset prices
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+On the minimal martingale measure and the möllmer-schweizer decomposition
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+Drawdowns and the speed of market crash
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+On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:457179