摘要翻译：
在一般连续金融市场模型的背景下，我们研究了与诚实时间相关的附加信息是否会产生套利利润。通过利用过滤的渐进扩大理论，我们明确地表明，在诚实的时间之前，没有任何一种套利利润可以严格地实现，而经典的套利机会可以在诚实的时间和诚实的时间之后精确地实现。此外，第一类更强的套利只能通过在诚实的时间出现后立即交易来获得。我们仔细研究了局部鞅平减指数的行为，并考虑了弱于NFLVR的无套利型条件。
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英文标题：
《On arbitrages arising from honest times》
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作者：
Claudio Fontana, Monique Jeanblanc, Shiqi Song
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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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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英文摘要：
  In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly before an honest time, while classical arbitrage opportunities can be realised exactly at an honest time as well as after an honest time. Moreover, stronger arbitrages of the first kind can only be obtained by trading as soon as an honest time occurs. We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.
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PDF链接：
https://arxiv.org/pdf/1207.1759