Modeling financial assets without semimartingales
| dc.creator | Coviello, Rosanna | |
| dc.creator | Russo, Francesco | |
| dc.date | 2006-06-26 | |
| dc.date.accessioned | 2026-07-07T07:17:41Z | |
| dc.date.available | 2026-07-07T07:17:41Z | |
| dc.description | 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. | |
| dc.description | 53 pages | |
| dc.identifier | https://arxiv.org/abs/math/0606642 | |
| dc.identifier | http://arxiv.org/abs/math/0606642 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/114028 | |
| dc.subject | Probability | |
| dc.subject | 60G48; 60H05; 60H07; 60H10 | |
| dc.title | Modeling financial assets without semimartingales | |
| dc.type | text |