Bei Fragen und Problemen wenden Sie sich bitte an webmaster@zib.de!
Stochastische Analysis und Stochastik der Finanzmärkte
HU Berlin, TU Berlin, DFG FZ Matheon
Monique Jeanblanc (Université d'Evry Val D'Essonne)
On arbitrages arising with honest times
Programm / Abstract:
In the context of a general continuous financial market model, we study whether the additional information associated with an \emph{honest time} $\tau$ gives rise to arbitrage. By relying on the theory of progressive enlargement of filtrations, we explicitly show that arbitrage profits can never be realized strictly before $\tau$, while classical arbitrage opportunities can be realized exactly at $\tau$ and stronger arbitrages of the first kind always exist after $\tau$. We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.
A joint work with Claudio Fontana and Shiqi Song
Zeit:
am Donnerstag den 11. April 2013 um 16:00
Ort:
TU Berlin, Institut für Mathematik
Strasse des 17. Juni 136
10623 Berlin
MA 041 Erdgeschoß
eingetragen von Jean Downes(downes@math.tu-berlin.de, )