ﻻ يوجد ملخص باللغة العربية
Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Follmer integration. Without the assumption of any underlying probabilistic model, we prove pathwise Master formulae analogous to those of classical SPT, describing the growth of wealth processes associated to functionally generated portfolios relative to the market portfolio. We show that the appropriately scaled asymptotic growth rate of a far reaching generalization of Covers universal portfolio based on controlled paths coincides with that of the best retrospectively chosen portfolio within this class. We provide several novel results concerning rough integration, and highlight the advantages of the rough path approach by considering (non-functionally generated) log-optimal portfolios in an ergodic It^o diffusion setting.
Using rough path theory, we provide a pathwise foundation for stochastic It^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To this end, w
Questions regarding the continuity in $kappa$ of the $SLE_{kappa}$ traces and maps appear very naturally in the study of SLE. In order to study the first question, we consider a natural coupling of SLE traces: for different values of $kappa$ we use t
We show that every $mathbb{R}^d$-valued Sobolev path with regularity $alpha$ and integrability $p$ can be lifted to a Sobolev rough path provided $alpha < 1/p<1/3$. The novelty of our approach is its use of ideas underlying Hairers reconstruction the
We propose a Markov regime switching GARCH model with multivariate normal tempered stable innovation to accommodate fat tails and other stylized facts in returns of financial assets. The model is used to simulate sample paths as input for portfolio o
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on a positive stock price whose payoff at a possibl