Pathwise stochastic integrals for model free finance
From MaRDI portal
Publication:726748
DOI10.3150/15-BEJ735zbMATH Open1346.60078arXiv1311.6187MaRDI QIDQ726748FDOQ726748
Authors: Nicolas Perkowski, David J. Prömel 
Publication date: 14 July 2016
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We present two different approaches to stochastic integration in frictionless model free financial mathematics. The first one is in the spirit of It^o's integral and based on a certain topology which is induced by the outer measure corresponding to the minimal superhedging price. The second one is based on the controlled rough path integral. We prove that every "typical price path" has a naturally associated It^o rough path, and justify the application of the controlled rough path integral in finance by showing that it is the limit of non-anticipating Riemann sums, a new result in itself. Compared to the first approach, rough paths have the disadvantage of severely restricting the space of integrands, but the advantage of being a Banach space theory. Both approaches are based entirely on financial arguments and do not require any probabilistic structure.
Full work available at URL: https://arxiv.org/abs/1311.6187
Recommendations
Cites Work
- Title not available (Why is that?)
- A general version of the fundamental theorem of asset pricing
- Differential equations driven by rough signals
- Forward, backward and symmetric stochastic integration
- Controlling rough paths
- Rough path recursions and diffusion approximations
- An inequality of the Hölder type, connected with Stieltjes integration
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- Arbitrage bounds for prices of weighted variance swaps
- Multidimensional stochastic processes as rough paths. Theory and applications.
- THE RANGE OF TRADED OPTION PRICES
- Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation
- Model-independent bounds for option prices -- a mass transport approach
- Pathwise construction of stochastic integrals
- Martingale optimal transport and robust hedging in continuous time
- System Control and Rough Paths
- Hedging under arbitrage
- A course on rough paths. With an introduction to regularity structures
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- The numéraire portfolio in semimartingale financial models
- The existence of dominating local martingale measures
- Continuous-time trading and the emergence of probability
- A Fourier analytic approach to pathwise stochastic integration
- On the semimartingale property of discounted asset-price processes
- Stochastic integration and \(L^ p-\)theory of semimartingales
- On pathwise stochastic integration
- Applications to mathematical finance
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- Global Solutions to Rough Differential Equations with Unbounded Vector Fields
- Path-wise solutions of stochastic differential equations driven by Lévy processes
- On stochastic calculus related to financial assets without semimartingales
- An introduction to measure theory
- Itô calculus without probability in idealized financial markets
- Continuous-time trading and the emergence of volatility
- General rough integration, Lévy rough paths and a Lévy-Kintchine-type formula
- Information and semimartingales.
- Title not available (Why is that?)
- Semi-martingales and rough paths theory
Cited In (35)
- Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
- Supermartingale deflators in the absence of a numéraire
- Pathwise construction of stochastic integrals
- On Sobolev rough paths
- Arbitrage-free modeling under Knightian uncertainty
- Model‐free portfolio theory: A rough path approach
- Pathwise superhedging on prediction sets
- On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
- Remarks on Föllmer's pathwise Itô calculus
- A superhedging approach to stochastic integration
- A Fourier analytic approach to pathwise stochastic integration
- Option pricing models without probability: a rough paths approach
- Stochastic integration and differential equations for typical paths
- Bilinear equations in Hilbert space driven by paths of low regularity
- A model‐free approach to continuous‐time finance
- Discretely sampled signals and the rough Hoff process
- A càdlàg rough path foundation for robust finance
- BDG inequalities and their applications for model-free continuous price paths with instant enforcement
- Additive functionals as rough paths
- Purely pathwise probability-free Itô integral
- Itô-Föllmer calculus in Banach spaces. I: The Itô formula
- Stochastic control with rough paths
- On the quadratic variation of the model-free price paths with jumps
- Duality for pathwise superhedging in continuous time
- Pathwise superreplication via Vovk's outer measure
- Rough differential equations with path-dependent coefficients
- One-dimensional game-theoretic differential equations
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- Rough paths in idealized financial markets
- Examples of Itô Càdlàg rough paths
- Differential equations driven by rough paths with jumps
- The role of measurability in game-theoretic probability
- Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
- Itô calculus without probability in idealized financial markets
- Martingale optimal transport duality
This page was built for publication: Pathwise stochastic integrals for model free finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q726748)
