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Financial/Actuarial Mathematics Seminar

Pathwise Generation of Trading Strategies.
Wednesday, October 6, 2021
4:00-5:00 PM
1360 East Hall Map
We present pathwise Ito-Tanaka theory, completely devoid of any probability structure, with help from the relevant notion of local time. Applying this theory to the functional generation of trading strategies, we discuss how to generate trading strategies in a pathwise way. A relevant definition of arbitrage and sufficient conditions leading to such arbitrage follow with examples.
Speaker(s): Donghan Kim (UM)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics