英文标题：
《Arbitrages in a Progressive Enlargement Setting》
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作者：
Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc
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最新提交年份：
2013
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英文摘要：
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while they preserve the No Unbounded Profit with Bounded Risk (NUPBR hereafter) under random horizon and when an honest time is incorporated for particular cases of models. For these markets, we calculate explicitly the arbitrage opportunities. The second contribution lies in providing simple proofs for the stability of the No Unbounded Profit with Bounded Risk under random horizon and after honest time satisfying additional important condition for particular cases of models.
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中文摘要：
本文完成了Choulli等人对半鞅模型在随机区间和诚实时间后的无套利的分析，包含两个主要贡献。第一个贡献在于提供和分析了许多市场模型的实际例子，这些模型承认经典套利，同时在随机视界下，以及在模型的特定情况下，当引入诚实时间时，它们保持有界风险的无无界利润（下文简称NUPBR）。对于这些市场，我们明确计算套利机会。第二个贡献在于，对于模型的特殊情况，在满足额外重要条件的诚实时间下，为具有有限风险的无无界利润的稳定性提供了简单的证明。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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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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