英文标题：
《No-arbitrage conditions and absolutely continuous changes of measure》
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作者：
Claudio Fontana
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最新提交年份：
2014
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英文摘要：
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of general semimartingale models, we show that an absolutely continuous change of measure does never introduce arbitrages of the first kind as long as the change of measure density process can reach zero only continuously.
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中文摘要：
我们研究了几个无套利条件相对于绝对连续但不一定等价的测度变化的稳定性。我们首先考虑了基于连续半鞅的模型，并证明了弱于NA和NFLVR的无套利条件总是稳定的。然后，在一般半鞅模型的背景下，我们证明了测度的绝对连续变化不会引入第一类套利，只要测度密度的变化过程只能连续地达到零。
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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：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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