Consistent price systems for subfiltrations

DOI10.1051/PS:2007004MaRDI QIDQ5429589zbMATH OpenOpenAlexFDO

Authors Andrea Gombani, Wolfgang J. Runggaldier, Stefan R. Jaschke

Publication date 30 November 2007

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=PS_2007__11__35_0, https://eudml.org/doc/104379

zbMATH Keywords

consistent price systemsfilteringnumerairepartial information

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Filtering in stochastic control theory (93E11)

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Cites work

• A filtered no arbitrage model for term structures from noisy data
• Arbitrage Theory in Continuous Time
• Changes of filtrations and of probability measures
• Changes of numéraire, changes of probability measure and option pricing
• Correlation and the pricing of risks
• scientific article; zbMATH DE number 1066451 (Why is no real title available?)
• scientific article; zbMATH DE number 1487969 (Why is no real title available?)

Cited in

(3)

• Filtration shrinkage, the structure of deflators, and failure of market completeness
• A filtered no arbitrage model for term structures from noisy data
• Risk-neutral measures and pricing for a pure jump price process

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