Rough paths in idealized financial markets

Vovk, Vladimir

(2010)

Vovk, Vladimir (2010) Rough paths in idealized financial markets.

Our Full Text Deposits

Full text access: Open

Full text file - 167.31 KB

Abstract

This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.

Information about this Version

This is a Submitted version
This version's date is: 3/5/2010
This item is not peer reviewed

Link to this Version

https://repository.royalholloway.ac.uk/items/ac715243-cdbb-e543-69c2-8c155c305115/4/

Item TypeMonograph (Working Paper)
TitleRough paths in idealized financial markets
AuthorsVovk, Vladimir
Uncontrolled Keywordsq-fin.GN, math.PR, q-fin.CP, 60G44, 91G80
DepartmentsFaculty of Science\Computer Science

Identifiers

Deposited by Research Information System (atira) on 03-Jul-2014 in Royal Holloway Research Online.Last modified on 03-Jul-2014

Notes

11 pages

Details