Itô calculus without probability in idealized financial markets
From MaRDI portal
Publication:493630
DOI10.1007/S10986-015-9280-1zbMATH Open1328.60097arXiv1108.0799OpenAlexW1551035879WikidataQ62046645 ScholiaQ62046645MaRDI QIDQ493630FDOQ493630
Authors: Vladimir Vovk 
Publication date: 3 September 2015
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Abstract: We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical price paths, where the qualification "typical" means that there is a trading strategy that risks only one monetary unit and brings infinite capital if quadratic variation does not exist. This result allows one to apply numerous known results in pathwise Ito calculus to typical price paths; we give a brief overview of such results.
Full work available at URL: https://arxiv.org/abs/1108.0799
Recommendations
- On stochastic calculus related to financial assets without semimartingales
- Itô calculus and Malliavin calculus
- Diffusion-based models for financial markets without martingale measures
- scientific article; zbMATH DE number 1789940
- Itô's stochastic calculus and its applications
- Itô calculus for Cramér-Lundberg model
- Itô-Skorohod stochastic equations and applications to finance
- A generalized Black-Scholes equation without Itô calculus
- Itô's stochastic calculus: its surprising power for applications
- Functional Itô calculus, path-dependence and the computation of Greeks
Sample path properties (60G17) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Financial applications of other theories (91G80)
Cites Work
- Title not available (Why is that?)
- Stochastic finance. An introduction in discrete time.
- Title not available (Why is that?)
- Change of variable formulas for non-anticipative functionals on path space
- Title not available (Why is that?)
- Title not available (Why is that?)
- Probability and finance. It's only a game!
- Continuous-time trading and the emergence of probability
- Title not available (Why is that?)
- The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges
- Derandomization in game-theoretic probability
- Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability
- Local times for typical price paths and pathwise Tanaka formulas
- Title not available (Why is that?)
- A new formulation of asset trading games in continuous time with essential forcing of variation exponent
- Rough paths in idealized financial markets
- Pathwise stochastic integrals for model free finance
Cited In (19)
- Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations
- On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
- Remarks on Föllmer's pathwise Itô calculus
- A superhedging approach to stochastic integration
- Continuous-time trading and the emergence of probability
- Relative genericity of controllablity and stabilizability for differential-algebraic systems
- A model‐free approach to continuous‐time finance
- A càdlàg rough path foundation for robust finance
- BDG inequalities and their applications for model-free continuous price paths with instant enforcement
- Itô-Föllmer calculus in Banach spaces. I: The Itô formula
- On the quadratic variation of the model-free price paths with jumps
- Pathwise no-arbitrage in a class of delta hedging strategies
- Pathwise superreplication via Vovk's outer measure
- One-dimensional game-theoretic differential equations
- Rough paths in idealized financial markets
- Pathwise stochastic integrals for model free finance
- Model-independent pricing with insider information: a Skorokhod embedding approach
- Title not available (Why is that?)
- On pathwise quadratic variation for càdlàg functions
This page was built for publication: Itô calculus without probability in idealized financial markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q493630)
