Modeling financial assets without semimartingales

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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 ${\cal A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of ${\cal A}$-martingale. A calculus related to ${\cal A}$-martingales with some examples is developed. Some applications to the maximization of the utility of an insider are expanded.
53 pages

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Probability, 60G48; 60H05; 60H07; 60H10

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http://salesiana.dossiersoluciones.com/handle/123456789/114028

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0606642
 http://arxiv.org/abs/math/0606642

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arXiv