We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time τ. Under minimal assumptions on the random time and on the driving Brownian motions, we study the behavior of the model in...

In the context of a general continuous financial market model, we study whether the additional information associated with an honest time τ gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit...

We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of...

We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No Arbitrage opportunity (NA) and No Free Lunch with Vanishing...