Rough paths in idealized financial markets. / Vovk, Vladimir.

2010.

Research output: Working paper

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Rough paths in idealized financial markets. / Vovk, Vladimir.

2010.

Research output: Working paper

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BibTeX

@techreport{23d022841f56423fb096788492296e35,
title = "Rough paths in idealized financial markets",
abstract = "This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.",
keywords = "q-fin.GN, math.PR, q-fin.CP, 60G44, 91G80",
author = "Vladimir Vovk",
note = "11 pages",
year = "2010",
month = may,
day = "3",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Rough paths in idealized financial markets

AU - Vovk, Vladimir

N1 - 11 pages

PY - 2010/5/3

Y1 - 2010/5/3

N2 - This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.

AB - This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumptions, it is sometimes possible to characterize the roughness of the price paths. A few simple new results are also stated.

KW - q-fin.GN

KW - math.PR

KW - q-fin.CP

KW - 60G44, 91G80

M3 - Working paper

BT - Rough paths in idealized financial markets

ER -