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dc.contributor.author
Allan, Andrew
dc.contributor.author
Liu, Chong
dc.contributor.author
Prömel, David J.
dc.date.accessioned
2022-01-25T12:11:48Z
dc.date.available
2022-01-25T10:44:42Z
dc.date.available
2022-01-25T12:11:48Z
dc.date.issued
2021-09-09
dc.identifier.uri
http://hdl.handle.net/20.500.11850/528334
dc.description.abstract
Using rough path theory, we provide a pathwise foundation for stochastic Itô integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To this end, we introduce the so-called Property (RIE) for càdlàg paths, which is shown to imply the existence of a càdlàg rough path and of quadratic variation in the sense of Föllmer. We prove that the corresponding rough integrals exist as limits of left-point Riemann sums along a suitable sequence of partitions. This allows one to treat integrands of non-gradient type, and gives access to the powerful stability estimates of rough path theory. Additionally, we verify that (path-dependent) functionally generated trading strategies and Cover's universal portfolio are admissible integrands, and that Property (RIE) is satisfied by both (Young) semimartingales and typical price paths.
en_US
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.subject
Föllmer integration
en_US
dc.subject
Model uncertainty
en_US
dc.subject
Semimartingale
en_US
dc.subject
Pathwise integration
en_US
dc.subject
Rough path
en_US
dc.subject
Functionally generated portfolios
en_US
dc.subject
Universal portfolio
en_US
dc.title
A Càdlàg Rough Path Foundation for Robust Finance
en_US
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
2109.04225
en_US
ethz.size
29 p.
en_US
ethz.identifier.arxiv
2109.04225
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.date.deposited
2022-01-25T10:44:48Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2022-01-25T12:11:54Z
ethz.rosetta.lastUpdated
2022-01-25T12:11:54Z
ethz.rosetta.versionExported
true
ethz.COinS
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