On stochastic calculus related to financial assets without semimartingales - ENSTA Paris - École nationale supérieure de techniques avancées Paris Accéder directement au contenu
Article Dans Une Revue Bulletin des Sciences Mathématiques Année : 2011

On stochastic calculus related to financial assets without semimartingales

Résumé

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\mathcal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\mathcal{A}$-martingale. A calculus related to $\mathcal{A}$-martingales with some examples is developed. Some applications to no-arbitrage, viability, hedging and the maximization of the utility of an insider are expanded. We finally revisit some no arbitrage conditions of Bender-Sottinen-Valkeila type.
Fichier principal
Vignette du fichier
NSModels9Fev2011Sent.pdf (447.43 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

inria-00564756 , version 1 (09-02-2011)

Identifiants

Citer

Rosanna Coviello, Cristina Di Girolami, Francesco Russo. On stochastic calculus related to financial assets without semimartingales. Bulletin des Sciences Mathématiques, 2011, 135, pp.733-774. ⟨10.1016/j.bulsci.2011.06.008⟩. ⟨inria-00564756⟩
457 Consultations
237 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More