On stochastic calculus related to financial assets without semimartingales (Q645948)

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On stochastic calculus related to financial assets without semimartingales
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    On stochastic calculus related to financial assets without semimartingales (English)
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    11 November 2011
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    The authors analyze various aspects of the relation between semimartingale property of the risk asset and absence of the arbitrage in the market. As a new version of market model, they consider a market where there are one risky asset, whose price is a strictly positive process \(S\), and a less risky asset \(S^0\), possibly riskless but a priori only with bounded variation. A class of admissible trading strategies is specified, and if it is not large enough to generate all predictable simple strategies, then \(S\) has no need to be a semimartingale. The aim of the paper is to settle the basis of a fundamental calculus which allows to model financial assets without semimartingales. More exactly, the paper provides a mathematical framework which extends Itô calculus conserving some particular aspects of it in a non-semimartingale framework. The two major tools are forward integrals and \(\mathcal{A}\)-martingales. Moreover, the basis is built of a corresponding financial theory which allows to deal with several problems as hedging and non-arbitrage pricing, viability and completeness as well as with utility maximization.
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    self-financing portfolio
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    admissible portfolio
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    \(\mathcal{A}\)-martingale
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    contingent claim of interest
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    weak \(k\)-order Brownian motion
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    no-semimartingale
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    utility maximization
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    insider
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    no-arbitrage
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    viability
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    hedging
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