Arbitrage of the first kind and filtration enlargements in semimartingale financial models

@article{Acciaio2014ArbitrageOT,
  title={Arbitrage of the first kind and filtration enlargements in semimartingale financial models},
  author={B. Acciaio and C. Fontana and C. Kardaras},
  journal={Stochastic Processes and their Applications},
  year={2014},
  volume={126},
  pages={1761-1784}
}
  • B. Acciaio, C. Fontana, C. Kardaras
  • Published 2014
  • Mathematics, Economics
  • Stochastic Processes and their Applications
  • In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, we give a characterisation of the NA1 stability for all semimartingale models. 
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