Trading strategies generated pathwise by functions of market weights (Q2308179): Difference between revisions

@@ Property / DOI @@
-.1007/s00780-019-00414-2
@@ Property / DOI: 10.1007/s00780-019-00414-2 / rank @@
-Normal rank
@@ Property / author @@
+Ioannis Karatzas
@@ Property / author: Ioannis Karatzas / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2994645282
@@ Property / OpenAlex ID: W2994645282 / rank @@
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@@ Property / arXiv ID @@
+.10123
@@ Property / arXiv ID: 1809.10123 / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Itō calculus and stochastic integral representation of martingales
+Normal rank
@@ Property / cites work @@
+Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
+Normal rank
@@ Property / cites work @@
+Pathwise stochastic calculus with local times
@@ Property / cites work: Pathwise stochastic calculus with local times / rank @@
+Normal rank
@@ Property / cites work @@
+On viscosity solutions of path dependent PDEs
@@ Property / cites work: On viscosity solutions of path dependent PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
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+Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
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+Q4531968
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+Volatility and arbitrage
@@ Property / cites work: Volatility and arbitrage / rank @@
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+Q2703781
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+Stochastic Portfolio Theory: an Overview
@@ Property / cites work: Stochastic Portfolio Theory: an Overview / rank @@
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+Q3911166
@@ Property / cites work: Q3911166 / rank @@
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+Trading strategies generated by Lyapunov functions
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+Weak approximations for Wiener functionals
@@ Property / cites work: Weak approximations for Wiener functionals / rank @@
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@@ Property / cites work @@
+Weak differentiability of Wiener functionals and occupation times
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+A weak version of path-dependent functional Itô calculus
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+Local times for typical price paths and pathwise Tanaka formulas
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+Generalised Lyapunov Functions and Functionally Generated Trading Strategies
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+Model-Free Portfolio Theory and Its Functional Master Formula
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+Introduction to stochastic calculus for finance. A new didactic approach.
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+Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
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+Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
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@@ Property / Wikidata QID @@
+Q126556055
@@ Property / Wikidata QID: Q126556055 / rank @@
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@@ Property / DOI @@
+.1007/S00780-019-00414-2
@@ Property / DOI: 10.1007/S00780-019-00414-2 / rank @@
+Normal rank