1 citations · 1 across the 1 of their papers we have counts for
3 papers
q-fin.PM2016
Model-free portfolio theory and its functional master formula
Alexander Schied, Leo Speiser, Iryna Voloshchenko
We use pathwise Itô calculus to prove two strictly pathwise versions of the master formula in Fernholz' stochastic portfolio theory. Our first version is set within the framework o…
math.PR2016★ 1 cited
The associativity rule in pathwise functional Itô calculus
Alexander Schied, Iryna Voloshchenko
In this paper we establish the associativity property of the pathwise Itô integral in a functional setting for continuous integrators. Here, associativity refers to the computation…
q-fin.MF2015
Pathwise no-arbitrage in a class of Delta hedging strategies
Alexander Schied, Iryna Voloshchenko
We consider a strictly pathwise setting for Delta hedging exotic options, based on Föllmer's pathwise Itō calculus. Price trajectories are -dimensional continuous functions whos…