英文标题：
《Semi-static completeness and robust pricing by informed investors》
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作者：
Beatrice Acciaio, Martin Larsson
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最新提交年份：
2016
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英文摘要：
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The concept of semi-static completeness is introduced: it corresponds to having exact replication by means of semi-static strategies. We show that semi-static completeness is equivalent to an extremality property, and give a characterization of the induced filtration structure. Furthermore, we consider investors with additional information and, for specific types of extra information, we characterize the models that are semi-statically complete for the informed investors. Finally, we provide some examples where robust pricing for informed and uninformed agents can be done over semi-statically complete models.
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中文摘要：
我们考虑一个连续时间金融市场，它由可用于动态交易的证券和仅可用于静态交易的证券组成。我们在一个健壮的框架中工作，其中给出了一组非支配模型。引入了半静态完备性的概念：它对应于通过半静态策略进行精确复制。我们证明了半静态完备性等价于一个极值性质，并给出了诱导过滤结构的一个特征。此外，我们考虑具有额外信息的投资者，对于特定类型的额外信息，我们描述了对知情投资者半静态完整的模型。最后，我们提供了一些例子，可以在半静态完整模型上对知情和不知情的代理进行稳健定价。
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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：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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