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Pré-Publication, Document De Travail Année : 2006

Modeling financial assets without semimartingale

Résumé

This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class $\cal{A}$ of admissible strategies is restricted. The classical notion of martingale is replaced with the notion of $\cal{A}$-martingale. A calculus related to $\cal{A}$ -martingales with some examples is developed. Some applications to the maximization of the utility of an insider are expanded.
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Dates et versions

hal-00082050 , version 1 (26-06-2006)

Identifiants

  • HAL Id : hal-00082050 , version 1

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Rosanna Coviello, Francesco Russo. Modeling financial assets without semimartingale. 2006. ⟨hal-00082050⟩
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