1 citations · 1 across the 10 of their papers we have counts for
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An elementary approach to delta and gamma hedging, and the Black--Scholes PDE
John Armstrong, Purba Das
We show how the robustness of gamma hedging can be understood just using the concepts of variation along a partition sequence and Taylor's theorem. There is no need to def…
A rough path approach to pathwise stochastic integration à la Föllmer
Purba Das, Anna P. Kwossek, David J. Prömel
We develop a general framework for pathwise stochastic integration that extends Föllmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums an…
Self-normalized scaled quadratic variation
Suprio Bhar, Purba Das, Barun Sarkar
The concept of a scaled quadratic variation was originally introduced by E. Gladyshev in 1961 for processes with Gaussian increments. Using certain deterministic scaling, arrived a…
Local times of deterministic paths and self-similar processes with stationary increments as normalized numbers of interval crossings
Witold Bednorz, Purba Das, Rafał Łochowski
We prove a general result on a relationship between a limit of normalized numbers of interval crossings by a càdlàg path and an occupation measure associated with this path. Using…