Michel Émery

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We show that, if we allow general admissible integrands as trading strategies, the three dimensional Bessel process, Bes 3 , admits arbitrage possibilities. This is in contrast with the fact that the inverse process is a local martingale and hence is arbitrage free. This leads to some economic interpretation for the analysis of the property of arbitrage in(More)
— Building on work done by A. Vershik some thirty years ago, the insight into different types of filtrations has recently seen important progress, due in particular to concepts are the notions of standard filtrations (due to A. Vershik) and cosy filtrations (due to B. Tsirelson). We investigate the relation between these two concepts and try to provide a(More)
| Building on work done by A. Vershik some thirty years ago, the insight into diierent types of ltrations has recently seen important progress, due in particular to concepts are the notions of standard ltrations (due to A. Vershik) and cosy ltrations (due to B. Tsirelson). We investigate the relation between these two concepts and try to provide a(More)
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