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)
Speaker(s): Donghan Kim (UM)
Building: | East Hall |
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Event Type: | Workshop / Seminar |
Tags: | Mathematics |
Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |