2 papers
math.PR2026
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…
q-fin.MF2025
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…