英文标题：
《Non-Arbitrage up to Random Horizon for Semimartingale Models》
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作者：
Anna Aksamit, Tahir Choulli, Jun Deng, and Monique Jeanblanc
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最新提交年份：
2014
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英文摘要：
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-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this non-arbitrage notion, we obtain two principal results. The first result lies in describing the pairs of market model and random time for which the resulting stopped model fulfills NUPBR condition. The second main result characterises the random time models that preserve the NUPBR property after stopping for any market model. These results are elaborated in a very general market model, and we also pay attention to some particular and practical models. The analysis that drives these results is based on new stochastic developments in semimartingale theory with progressive enlargement. Furthermore, we construct explicit martingale densities (deflators) for some classes of local martingales when stopped at random time.
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中文摘要：
本文讨论了一个无套利半鞅模型在随机视界上停止时如何受到影响的问题。我们关注的是有界风险的无无界利润（下文称为NUPBR）概念，这在文献中也被称为第一类无套利。对于这个无套利概念，我们得到了两个主要结果。第一个结果在于描述市场模型和随机时间对，由此产生的停止模型满足NUPBR条件。在第二次市场停止后，保留任何随机市场模型的特征。这些结果在一个非常普遍的市场模型中进行了阐述，我们也注意到了一些特殊的和实用的模型。驱动这些结果的分析是基于半鞅理论中新的随机发展和逐步扩大。此外，我们构造了一些局部鞅在随机时间停止时的显式鞅密度（平减指数）。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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