A superhedging approach to stochastic integration

DOI10.1016/j.spa.2018.01.009zbMath1417.60045arXiv1609.02349OpenAlexW2963508800MaRDI QIDQ1630662

Nicolas Perkowski, David J. Prömel, Rafał Marcin Łochowski

Publication date: 10 December 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.02349

zbMATH Keywords

stochastic integrationquadratic variationmodel-independent financecàdlàg pathpathwise stochastic calculusVovk's outer measure

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic integrals (60H05)

Related Items (13)

Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations ⋮ A model‐free approach to continuous‐time finance ⋮ BDG inequalities and their applications for model-free continuous price paths with instant enforcement ⋮ On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ A càdlàg rough path foundation for robust finance ⋮ On pathwise quadratic variation for càdlàg functions ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Stochastic integration and differential equations for typical paths ⋮ Examples of Itô càdlàg rough paths ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ On the quadratic variation of the model-free price paths with jumps ⋮ One-dimensional game-theoretic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pathwise construction of stochastic integrals
• Itô calculus without probability in idealized financial markets
• A new formulation of asset trading games in continuous time with essential forcing of variation exponent
• Continuous-time trading and the emergence of probability
• Pathwise stochastic integrals for model free finance
• Pathwise stochastic integration and applications to the theory of continuous trading
• Change of variable formulas for non-anticipative functionals on path space
• Continuous-time trading and the emergence of volatility
• Stochastic integration and \(L^ p-\)theory of semimartingales
• Dynamic spanning without probabilities
• On pathwise stochastic integration
• Pathwise no-arbitrage in a class of delta hedging strategies
• Pathwise versions of the Burkholder-Davis-Gundy inequality
• Pathwise integration with respect to paths of finite quadratic variation
• Pathwise superreplication via Vovk's outer measure
• Local times for typical price paths and pathwise Tanaka formulas
• Probability and Finance
• ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS
• Continuous-time trading and the emergence of randomness
• Uncertain volatility and the risk-free synthesis of derivatives

This page was built for publication: A superhedging approach to stochastic integration