We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...

We study general undiscounted asset price processes, which are only assumed to be non- negative, adapted and RCLL (but not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a discounting-invariant condition of absence of arbitrage,...

For a large financial market (which is a sequence of usual, “small” financial markets), we introduce and study a concept of no asymptotic arbitrage (of the first kind) which is invariant under discounting. We give two dual characterisations of this property in terms of (1) martingale-like...

An implied savings account for a given term structure model is a strictly positive predictable process. This extends a result given by Musiela and Rutkowski (1997a) who considered the case of aBrownian filtration, and fills a gap in their arguments

Let X be an R^d-valued special semimartingale on a probability space with canonical decomposition X=X_0+M+A. Denote by G_T(Theta) the space of all random variables (theta bullet X)_T, where theta is a predictable X- integrable process such that the stochastic integral theta bullet X is in the...

In the simplest formulation, this paper addresses the following question: Given two positive asset prices on a right-open interval, how can one decide, in an economically natural manner, whether or not this is an arbitrage-free model?In general multi-asset models of financial markets, the...