Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, October 06, 2021
Location:  1324 East Hall (4:00 PM to 5:00 PM)

Title:  Pathwise Generation of Trading Strategies.

Abstract:   We present pathwise Ito-Tanaka theory, completely devoid of any probability structure, with help from the relevant notion of local time. Applying this theory to the functional generation of trading strategies, we discuss how to generate trading strategies in a pathwise way. A relevant definition of arbitrage and sufficient conditions leading to such arbitrage follow with examples.

Files: 7364_Presentation.pdf

Speaker:  Donghan Kim
Institution:  UM

Event Organizer:     


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