**abstract:**
We present a non-probabilistic, pathwise framework to continuous-time
finance based on non-anticipative functional calculus, an extension of
Hans Follmer's pathwise Ito calculus to non-anticipative functionals
1. We exhibit a class of non-anticipative functionals, called Class
M functionals, which play a role analogous to martingales in the
pathwise theory.
We provide a 'local' definition of the self-financing property,
independent of any particular notion of integration, and show that the
value of a self-financing portfolio is a class M functional.
We formulate the notion of hedging cost across a set of scenarios and
formulate a pathwise dynamic programming principle for the superhedging
cost.

Joint work with Henry CHIU (Imperial College London).

References:

1 H Chiu, R Cont (2019) Causal functional calculus.
https:/arxiv.org*abs*1912.07951*
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*2 H Chiu, R Cont (2021) A model-free approach to continuous-time finance.
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Tue 28 Jun, 15:15 - 16:00, Aula Dini

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