At the end of the 1970s, Jean Jacod, Thierry Jeulin and Marc Yor started a systematic study
of enlargement of filtration which focuses on the properties of stochastic processes under a …

Motivated by structural, reduced-form and hybrid models of the third party and counterparty
credit risk, we study a generalized backward stochastic differential equations (BSDE) up to a …

This paper studies the impact, on no-arbitrage conditions, of stopping the price process at an
arbitrary random time. As price processes, we consider the class of quasi-left-continuous …

We study the strong predictable representation property in filtrations initially enlarged with a
random variable L. We prove that the strong predictable representation property can always …

We consider a financial framework with two levels of information: the public information
generated by the financial assets, and a larger flow of information that contains additional …

This paper focuses on the stability of no-arbitrage, for discrete time market models, under
additional uncertainty generated by a random time. At the practical level, this random time …

This paper quantifies the interplay between the no-arbitrage notion of no unbounded profit
with bounded risk (NUPBR) and additional progressive information generated by a random …

This paper focuses on numéraire and log-optimal portfolios when a market model (S, F, P)–
specified by its assets' price S, its flow of information F and a probability measure P–is …

We study the upper and lower bounds for prices of European and American style options
with the possibility of an external termination, meaning that the contract may be terminated at …

We study arbitrage opportunities, market viability and utility maximization in market models
with an insider. Assuming that an economic agent possesses an additional information in …