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math.PR2026
Gamma Hedging without Rough Paths
John Armstrong, Purba Das
We show how the robustness of gamma hedging can be understood without using rough-path theory. Instead, we use the concepts of variation along a partition sequence and Tay…
math.PR2025
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…
math.PR2025
Pathwise Itô isometry for scaled quadratic variation
Suprio Bhar, Purba Das, Barun Sarkar
The concept of scaled quadratic variation was originally introduced by E. Gladyshev in 1961 in the context of Gaussian processes, where it was defined as the limit of the covarianc…