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

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.