Probabilistic aspects of finance
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Publication:373529
DOI10.3150/12-BEJSP05zbMath1279.91053arXiv1309.7759MaRDI QIDQ373529
Hans Föllmer, Alexander Schied
Publication date: 17 October 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7759
hedgingincomplete marketmodel uncertaintyarbitrage pricing theoryprice impactKnightian uncertaintyconvex risk measuremarket impact modelcoherent risk measurealgorithmic tradingvariance swapmonetary measure of riskpathwise Itō calculussuperhedging
Decision theory (91B06) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)
Related Items (13)
The fundamental theorem of mutual insurance ⋮ A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness ⋮ A model‐free approach to continuous‐time finance ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ A càdlàg rough path foundation for robust finance ⋮ On the $p$th variation of a class of fractal functions ⋮ On a class of generalized Takagi functions with linear pathwise quadratic variation ⋮ Hedging with small uncertainty aversion ⋮ Model-free CPPI ⋮ Remarks on Föllmer's pathwise Itô calculus ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ Robust optimal risk sharing and risk premia in expanding pools ⋮ PRICING DERIVATIVES IN HERMITE MARKETS
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