Sara Boroni: No arbitrage of the first kind in enlargement of filtration

Supervisor: Yishao Zhou

Abstract:
Given a filtration F, which represents the set of information of a financial market, we construct a filtration G, which represents the set of information of an enlarged financial market, in two different ways: progressively enlarging F with a random time and initially enlarging F with a random variable. Assuming that the financial market associated to F does not allow any kind of arbitrage and that all F-local martingales are continuous, we give conditions for the enlarged financial market to satisfy No Arbitrage of the First Kind.