Pathwise integration in model free finance

Sandwich Seminar

The game-theoretic approach to mathematical finance, as advocated by Vovk, allows for a qualitative description of typical asset price trajectories. It is based on pathwise superhedging arguments and does not presume a probability measure. I will present an Itô type integral in this context. I will also show that it is possible to construct a rough path above every typical price path. This leads to a pathwise integral in the spirit of Föllmer's "calcul d'Itô sans probabilités", except that we allow for multidimensional integrators. Joint work with David Prömel.


Nicolas Perkowski (HU-Berlin)

Friday, May 3, 2013 - 12:30
to 13:30