Probabilistic aspects of finance

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

zbMATH Keywords

hedgingincomplete marketmodel uncertaintyarbitrage pricing theoryprice impactKnightian uncertaintyconvex risk measuremarket impact modelcoherent risk measurealgorithmic tradingvariance swapmonetary measure of riskpathwise Itō calculussuperhedging

Mathematics Subject Classification ID

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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