33 citations · 34 across the 5 of their papers we have counts for
5 papers
Functional representation and functional calculus for controlled paths
Anna Ananova, Rama Cont
We study the relation between non-anticipative functional calculus and compatible families of controlled paths. For a non-anticipative functional satisfying horizontal Lipschitz re…
A pathwise Ito formula for weakly differentiable functions
Anna Ananova, Rama Cont
We prove a version of Föllmer's pathwise Itô formula for weakly differentiable functions of continuous paths with finite quadratic variation along a sequence of partitions. For eac…
Model-free Analysis of Dynamic Trading Strategies
Anna Ananova, Rama Cont, Renyuan Xu
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other stat…
Rough differential equations with path-dependent coefficients
Anna Ananova
We establish the existence of solutions to path-dependent rough differential equations with non-anticipative coefficients. Regularity assumptions on the coefficients are formulated…
Pathwise integration with respect to paths of finite quadratic variation
Anna Ananova, Rama Cont
We study a pathwise integral with respect to paths of finite quadratic variation, defined as the limit of non-anticipative Riemann sums for gradient-type integrands. We show that t…