No-arbitrage under additional information for thin semimartingale models

DOI10.1016/J.SPA.2018.09.005MaRDI QIDQ2274293zbMATH OpenOpenAlexFDO

Authors Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1505.00997

zbMATH Keywords

local martingale deflatorarbitragehonest timeprogressive enlargement of filtrationrandom horizonno-unbounded-profit-with-bounded-riskthin semimartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)

Abstract: This paper completes the two studies undertaken in cite{aksamit/choulli/deng/jeanblanc2} and cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price processes are quasi-left-continuous (do not jump on predictable stopping times). Herein, we focus on the NUPBR for semimartingales models that live on thin predictable sets only and the progressive enlargement with a random time. For this flow of information, we explain how far the NUPBR property is affected when one stops the model by an arbitrary random time or when one incorporates fully an honest time into the model. This also generalizes cite{choulli/deng} to the case when the jump times are not ordered in anyway. Furthermore, for the current context, we show how to construct explicitly local martingale deflator under the bigger filtration from those of the smaller filtration.

Recommendations

• No-arbitrage up to random horizon for quasi-left-continuous models
• No-arbitrage under a class of honest times
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• Representation for martingales living after a random time with applications
• On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration

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Cited in

(8)

• Explicit description of all deflators for market models under random horizon with applications to NFLVR
• Log-optimal and numéraire portfolios for market models stopped at a random time
• No-arbitrage up to random horizon for quasi-left-continuous models
• No-arbitrage under a class of honest times
• No-arbitrage for informational discrete time market models
• No arbitrage and multiplicative special semimartingales
• No arbitrage without semimartingales
• Structure Conditions under Progressively Added Information

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