Arbitrage of the first kind and Filtration Enlargements in Semimartingale Financial Models

Beatrice Acciaio (LSE)
Wednesday, April 16, 2014 - 5:00pm
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

I will discuss the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition, in a general semimartingale financial model, under initial and under progressive filtration enlargements. In both cases, I will provide a simple and general condition which is sufficient to ensure this stability for any fixed semimartingale model. Furthermore, I will give a characterization of the NA1 stability for all semimartingale models. (This talk is based on a joint work with C. Fontana and K. Kardaras.)