Enlargement of filtration with finance in view
A Aksamit, M Jeanblanc - 2017 - Springer
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 …
of enlargement of filtration which focuses on the properties of stochastic processes under a …
[HTML][HTML] Arbitrage of the first kind and filtration enlargements in semimartingale financial models
In a general semimartingale financial model, we study the stability of the No Arbitrage of the
First Kind (NA 1)(or, equivalently, No Unbounded Profit with Bounded Risk) condition under …
First Kind (NA 1)(or, equivalently, No Unbounded Profit with Bounded Risk) condition under …
Arbitrages in a progressive enlargement setting
This paper completes the analysis of Choulli et al.[6] and contains two principal
contributions. The first contribution consists in providing and analysing many practical …
contributions. The first contribution consists in providing and analysing many practical …
No-arbitrage up to random horizon for quasi-left-continuous models
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 …
arbitrary random time. As price processes, we consider the class of quasi-left-continuous …
Progressive filtration expansions via a process, with applications to insider trading
Y Kchia, P Protter - International Journal of Theoretical and Applied …, 2015 - World Scientific
The development of the theory of the expansion of filtrations took place mostly three
decades ago, in the 1980s. Researchers developed two types of expansions: Initial …
decades ago, in the 1980s. Researchers developed two types of expansions: Initial …
No-arbitrage under a class of honest times
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 …
with bounded risk (NUPBR) and additional progressive information generated by a random …
Non-arbitrage up to random horizon for semimartingale models
This paper addresses the question of how an arbitrage-free semimartingale model is
affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with …
affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with …
Enlargement of filtration in discrete time
C Blanchet-Scalliet, M Jeanblanc - … Probability to Finance: Lecture Notes of …, 2020 - Springer
In this lecture, we study enlargement of filtration in a discrete time setting. In a discrete time
setting, considering two filtrations\mathbb F and\mathbb G with\mathbb F ⊂\mathbb G …
setting, considering two filtrations\mathbb F and\mathbb G with\mathbb F ⊂\mathbb G …
[图书][B] Portfolio Optimization with Different Information Flow
C Hillairet, Y Jiao - 2017 - books.google.com
Portfolio Optimization with Different Information Flow recalls the stochastic tools and results
concerning the stochastic optimization theory and the enlargement filtration theory. The …
concerning the stochastic optimization theory and the enlargement filtration theory. The …
On the construction of conditional probability densities in the Brownian and compound Poisson filtrations
PV Gapeev, M Jeanblanc - ESAIM: Probability and Statistics, 2024 - esaim-ps.org
In this paper, we construct supermartingales valued in [0, 1] as solutions of an appropriate
stochastic differential equation on a given reference filtration generated by either a Brownian …
stochastic differential equation on a given reference filtration generated by either a Brownian …