Superhedging Approach to Robust Finance and Local Times

7 March 2016
David Proemel

Using Vovk's game-theoretic approach to mathematical finance and probability, it is possible to obtain new results in both areas.We first prove that one can make an arbitrarily large profit by investing in those one-dimensional paths which do not possess a local time of finite p-variation.  Additionally, we provide pathwise Tanaka formulas suitable for our local times and for absolutely continuous functions with sufficient regular derivatives. In the second part we derive a model-independent super-replication theorem in continuous time. Our result covers a broad range of exotic derivatives, including look-back options, discretely monitored Asian options, and options on realized variance.
 This talk is based on joint works with M. Beiglb√∂ck, A.M.G. Cox, M. Huesmann and N. Perkowski.


  • Stochastic Analysis Seminar